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- W1954684003 abstract "We obtain explicit representations of locally risk-minimizing strategies for call and put options in Barndorff-Nielsen and Shephard models, which are Ornstein–Uhlenbeck-type stochastic volatility models. Using Malliavin calculus for Lévy processes, Arai and Suzuki (Int. J. Financ. Eng. 2:1550015, 2015) obtained a formula for locally risk-minimizing strategies for Lévy markets under many additional conditions. Supposing mild conditions, we make sure that the Barndorff-Nielsen and Shephard models satisfy all the conditions imposed in (Arai and Suzuki in Int. J. Financ. Eng. 2:1550015, 2015). Among others, we investigate the Malliavin differentiability of the density of the minimal martingale measure. Moreover, we introduce some numerical experiments for locally risk-minimizing strategies." @default.
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- W1954684003 date "2017-03-13" @default.
- W1954684003 modified "2023-10-16" @default.
- W1954684003 title "Local risk-minimization for Barndorff-Nielsen and Shephard models" @default.
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- W1954684003 doi "https://doi.org/10.1007/s00780-017-0324-8" @default.
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