英文标题：
《Local risk-minimization for Barndorff-Nielsen and Shephard models》
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作者：
Takuji Arai, Yuto Imai and Ryoichi Suzuki
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最新提交年份：
2016
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英文摘要：
We obtain explicit representations of locally risk-minimizing strategies of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein--Uhlenbeck-type stochastic volatility models. Using Malliavin calculus for Levy processes, Arai and Suzuki (2015) obtained a formula for locally risk-minimizing strategies for Levy 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 (2015). Among others, we investigate the Malliavin differentiability of the density of the minimal martingale measure. Moreover, some numerical experiments for locally risk-minimizing strategies are introduced.
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中文摘要：
对于Barndorff-Nielsen和Shephard模型，即Ornstein-Uhlenbeck型随机波动率模型，我们得到了看涨期权和看跌期权局部风险最小化策略的显式表示。Arai和Suzuki（2015）利用Malliavin演算的Levy过程，得出了在许多附加条件下Levy市场局部风险最小化策略的公式。假设条件温和，我们确保Barndorff-Nielsen和Shephard模型满足Arai和Suzuki（2015）规定的所有条件。其中，我们研究了最小鞅测度密度的Malliavin可微性。此外，还介绍了一些局部风险最小化策略的数值实验。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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