Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure

2023/06/09 by Takuji Arai, Arai, Takuji, Yuto Imai +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2306.05750

openalex publication_date 2023/06/09 · openalex created_date 2023/06/13 · openalex updated_date 2026/07/28

Abstract

The Barndorff-Nielsen and Shephard model is a representative jump-type stochastic volatility model. Still, no method exists to compute option prices numerically for the non-martingale case with infinite active jumps. We develop two simulation methods for such a case under change of measure and conduct some numerical experiments.

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• Numerical analysis on locally risk-minimizing strategies for Barndorff-Nielsen and Shephard models

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