Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium

DOI10.1007/978-981-10-0476-6_1zbMath1409.91225arXiv1506.01477OpenAlexW624040386MaRDI QIDQ4604739

Takuji Arai

Publication date: 5 March 2018

Published in: Advances in Mathematical Economics Volume 20 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.01477

zbMATH Keywords

Lévy processesMalliavin calculusstochastic volatility modelslocally risk-minimizing strategyBarndorff-Nielsen and Shephard models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Local risk-minimization for Barndorff-Nielsen and Shephard models

Cites Work

• Local risk-minimization for Barndorff-Nielsen and Shephard models
• Canonical Lévy process and Malliavin calculus
• Malliavin calculus in Lévy spaces and applications to finance.
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Financial Modelling with Jump Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Stochastic calculus of variations for jump processes
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