We discuss the -Optimal Martingale Measure for ∈ (1, ∞) in continuous incomplete markets whose stock price is fluctuated by a -dimensional continuous semimartingale. In this paper, we treat two simple models. One is a model where the mean-variance trade-off process is deterministic. Another...

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...