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Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
Arai, Takuji
- In:
Advances in mathematical economics
20
(
2016
),
pp. 3-22
Persistent link: https://www.econbiz.de/10011491011
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2
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Arai, Takuji
- In:
International journal of theoretical and applied finance
22
(
2019
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012183209
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3
Deep learning-based option pricing for Barndorff-Nielsen and Shephard model
Arai, Takuji
- In:
International journal of financial engineering
10
(
2023
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014444476
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4
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Arai, Takuji
- In:
International journal of theoretical and applied …
25
(
2022
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013189954
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5
Numercial analysis on quadratic hedging strategies for normal inverse Gaussian models
Arai, Takuji
;
Imai, Yuto
;
Nakashima, Ryo
- In:
Advances in mathematical economics
22
(
2018
),
pp. 1-24
Persistent link: https://www.econbiz.de/10011895065
Saved in:
6
Local risk-minimization for Barndorff-Nielsen and Shephard models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 551-592
Persistent link: https://www.econbiz.de/10011944406
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