The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model

DOI10.1080/07362990903136413zbMath1182.91194OpenAlexW2001257551MaRDI QIDQ3182399

Martin Groth, Fred Espen Benth

Publication date: 8 October 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990903136413

zbMATH Keywords

integro-partial differential equationLax-Wendroff schemeStochastic volatilityMinimal entropy martingale measureLèvy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Applications of entropy in finance: a review ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model

Cites Work

• Unnamed Item
• Unnamed Item
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• On the Construction and Comparison of Difference Schemes