The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
DOI10.1080/07362990903136413zbMath1182.91194OpenAlexW2001257551MaRDI QIDQ3182399
Martin Groth, Fred Espen Benth
Publication date: 8 October 2009
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990903136413
integro-partial differential equationLax-Wendroff schemeStochastic volatilityMinimal entropy martingale measureLèvy process
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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