Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium (Q4604739)

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scientific article; zbMATH DE number 6847083
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Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium
scientific article; zbMATH DE number 6847083

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    Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium (English)
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    5 March 2018
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    locally risk-minimizing strategy
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    Barndorff-Nielsen and Shephard models
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    stochastic volatility models
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    Malliavin calculus
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    Lévy processes
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