Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure

DOI10.1016/J.MATCOM.2023.11.029arXiv2306.05750OpenAlexW4388924136MaRDI QIDQ6129211

Takuji Arai, Yuto Imai

Publication date: 16 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2306.05750

zbMATH Keywords

Monte Carlo simulationstochastic volatility modelminimal martingale measureBarndorff-Nielsen and Shephard model

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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