GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING

DOI10.1142/S0219024916500242zbMath1396.91771OpenAlexW3123786579MaRDI QIDQ2814674

Akira Yamazaki

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500242

zbMATH Keywords

Ornstein-Uhlenbeck processasymptotic analysisLévy processdiscretely monitored path-dependent optionintertemporal joint distributionmultivariate characteristic function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A dynamic equilibrium model for U-shaped pricing kernels ⋮ A general control variate method for Lévy models in finance

Cites Work

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• Option Pricing in Multivariate Stochastic Volatility Models of OU Type
• Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

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