Local risk-minimization for Barndorff-Nielsen and Shephard models
We aim to obtain explicit representations of locally risk-minimizing of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein-Uhlenbeck type stochastic volatility models. Arai and Suzuki (2015) obtained a formula of locally risk-minimizing for L\'evy markets under many additional conditions by using Malliavin calculus for L\'evy processes. In this paper, supposing mild conditions, we make sure that the Barndorff-Nielsen and Shephard models satisfy all the conditions imposed in Arai and Suzuki (2015). Among others, we investigate the Malliavin differentiability of the density of the minimal martingale measure.
Year of publication: |
2015-03
|
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Authors: | Arai, Takuji ; Suzuki, Ryoichi |
Institutions: | arXiv.org |
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