Local risk-minimization for Barndorff-Nielsen and Shephard models

Takuji Arai and Ryoichi Suzuki
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Takuji Arai: Faculty of Economics, Keio University
Ryoichi Suzuki: Faculty of Economics, Kyoto University (Lecturer)

No 2015-003, Keio-IES Discussion Paper Series from Institute for Economics Studies, Keio University

Abstract: We calculate explicit representations of locally risk-minimizing of call and put options for the Barndorff-Nielsen and Shephard models.

Keywords: Local risk-minimization; Barndorff-Nielsen and Shephard models; Stochastic volatility models; Malliavin calculus; Levy processes (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2015-03
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Persistent link: https://EconPapers.repec.org/RePEc:keo:dpaper:2015-003

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