Moments of the asset price for the Barndorff-Nielsen and Shephard model

DOI10.1007/s10986-018-9416-1zbMath1420.91465MaRDI QIDQ1728116

Xianqiang Yang

Publication date: 22 February 2019

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-018-9416-1

zbMATH Keywords

moments; Lévy process; Girsanov's theorem; Barndorff-Nielsen and Shephard model; cumulant transform

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)