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- simulation for Barndorff-Nielsen and Shephard model under change of measure 2024-04-16 Paper APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD...10 bytes (16 words) - 23:42, 24 September 2023
- of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity 2010-04-22 Paper NEWS‐GENERATED DEPENDENCE AND OPTIMAL...10 bytes (16 words) - 20:11, 6 October 2023
- simulation for Barndorff-Nielsen and Shephard model under change of measure 2024-04-16 Paper Comparison of local risk minimization and delta hedging strategy...10 bytes (16 words) - 07:09, 7 October 2023
- view of the Debreu conjecture 2016-07-12 Paper GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING 2016-06-22 Paper Pricing...10 bytes (16 words) - 20:39, 24 September 2023
- risk-minimization for Barndorff-Nielsen and Shephard models 2017-04-13 Paper NUMERICAL ANALYSIS ON LOCAL RISK-MINIMIZATION FOR EXPONENTIAL LÉVY MODELS 2016-04-14...10 bytes (16 words) - 07:09, 7 October 2023
- 2010-10-06 Paper The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models 2007-02-05 Paper...10 bytes (17 words) - 11:35, 7 October 2023
- martingale measure for general Barndorff-Nielsen/Shephard models 2007-02-05 Paper An entropy approach to the Stein and Stein model with correlation 2006-05-24...10 bytes (16 words) - 12:22, 7 October 2023
- Risk Premium and the Esscher Transform in Power Markets 2012-03-07 Paper THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY...10 bytes (19 words) - 10:32, 9 December 2023
- Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model 2010-08-19 Paper The Minimal Entropy Martingale Measure and Numerical Option...10 bytes (16 words) - 10:05, 6 October 2023
- Publication Type Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model 2010-08-19 Paper A semilinear equation for the...10 bytes (16 words) - 11:08, 6 October 2023
- Paper Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models 2011-07-28 Paper On...10 bytes (16 words) - 13:17, 7 October 2023
- the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps 2009-07-15 Paper...10 bytes (16 words) - 15:12, 11 December 2023
- a filtering model with Gaussian limit 2007-03-02 Paper Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model 2005-08-05...10 bytes (16 words) - 15:21, 11 December 2023
- Paper Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models 2011-07-28 Paper...10 bytes (16 words) - 19:18, 6 October 2023
- Conditional expansions and their applications. 2005-11-29 Paper Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model 2005-08-05 Paper...10 bytes (16 words) - 12:09, 9 December 2023
- algebras 2019-02-22 Paper Moments of the asset price for the Barndorff-Nielsen and Shephard model 2019-02-22 Paper A new approach for credit scoring by directly...10 bytes (15 words) - 21:06, 24 September 2023
- -4 zbMATH Keywords symmetry; Ornstein-Uhlenbeck process; Barndorff-Nielsen and Shephard model; Bates' rule Mathematics Subject Classification ID 62P05:...15 bytes (78 words) - 17:23, 2 February 2024
- zbMATH Keywords stochastic volatility; Barndorff-Nielsen and Shephard model; quadratic hedging; oil commodity; options and swaps Mathematics Subject Classification...15 bytes (77 words) - 22:00, 2 February 2024
- partial integro-differential equation; arithmetic Asian option; Barndorff-Nielsen and Shephard model Mathematics Subject Classification ID 60H30: Applications...15 bytes (83 words) - 07:26, 30 January 2024
- zbMATH Keywords moments; Lévy process; Girsanov's theorem; Barndorff-Nielsen and Shephard model; cumulant transform Mathematics Subject Classification ID...15 bytes (76 words) - 07:41, 1 February 2024
