The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model (Q3182399)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model |
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The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model (English)
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8 October 2009
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integro-partial differential equation
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Lax-Wendroff scheme
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Lèvy process
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Minimal entropy martingale measure
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Stochastic volatility
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