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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| English | Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium |
scientific article; zbMATH DE number 6847083 |
Statements
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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0.9333841800689696
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0.8836202025413513
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0.7989555597305298
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0.7763708829879761
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0.7629388570785522
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