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

Takuji Arai and Yuto Imai

Papers from arXiv.org

Abstract: The Barndorff-Nielsen and Shephard model is a representative jump-type stochastic volatility model. Still, no method exists to compute option prices numerically for the non-martingale case with infinite active jumps. We develop two simulation methods for such a case under change of measure and conduct some numerical experiments.

Date: 2023-06
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