Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium (Q4604739)
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scientific article; zbMATH DE number 6847083
Language | Label | Description | Also known as |
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English | 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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