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Local risk-minimization for Barndorff-Nielsen and Shephard models

Author

Listed:
  • Takuji Arai

    (Faculty of Economics, Keio University)

  • Ryoichi Suzuki

    (Faculty of Economics, Kyoto University (Lecturer))

Abstract

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

Suggested Citation

  • Takuji Arai & Ryoichi Suzuki, 2015. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Keio-IES Discussion Paper Series 2015-003, Institute for Economics Studies, Keio University.
    • Handle: RePEc:keo:dpaper:2015-003
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    References listed on IDEAS

    as
    1. Jouini,E. & Cvitanic,J. & Musiela,Marek (ed.), 2001. "Handbooks in Mathematical Finance," Cambridge Books, Cambridge University Press, number 9780521792370.
    2. Delong, Lukasz & Imkeller, Peter, 2010. "On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1748-1775, August.
    3. Jan Kallsen & Richard Vierthauer, 2009. "Quadratic hedging in affine stochastic volatility models," Review of Derivatives Research, Springer, vol. 12(1), pages 3-27, April.
    4. Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
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    More about this item

    Keywords

    Local risk-minimization; Barndorff-Nielsen and Shephard models; Stochastic volatility models; Malliavin calculus; Levy processes;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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