Local risk-minimization for Barndorff-Nielsen and Shephard models
Year of publication: |
April 2017
|
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Authors: | Arai, Takuji ; Imai, Yuto ; Suzuki, Ryoichi |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 2, p. 551-592
|
Subject: | Local risk-minimization | Barndorff-Nielsen and Shephard models | Stochastic volatility models | Malliavin calculus | Lévy processes | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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