EconPapers    
Economics at your fingertips  
 

Numerical analysis on locally risk-minimizing strategies for Barndorff-Nielsen and Shephard models

Takuji Arai

Papers from arXiv.org

Abstract: We develop a numerical method for locally risk-minimizing (LRM) strategies for Barndorff-Nielsen and Shephard (BNS) models. Arai et al. (2017) derived a mathematical expression for LRM strategies in BNS models using Malliavin calculus for L\'evy processes and presented some numerical results only for the case where the asset price process is a martingale. Subsequently, Arai and Imai (2024) developed the first Monte Carlo (MC) method available for non-martingale BNS models with infinite active jumps. Here, we modify the expression obtained by Arai et al. (2017) into a numerically tractable form, and, using the MC method developed by Arai and Imai (2024), propose a numerical method of LRM strategies available for non-martingale BNS models with infinite active jumps. In the final part of this paper, we will conduct some numerical experiments.

Date: 2025-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2505.00255 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2505.00255

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2025-06-14
Handle: RePEc:arx:papers:2505.00255