英文标题：
《Local risk-minimization for Barndorff-Nielsen and Shephard models with
volatility risk premium》
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作者：
Takuji Arai
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最新提交年份：
2015
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英文摘要：
We derive representations of local risk-minimization of call and put options for Barndorff-Nielsen and Shephard models: jump type stochastic volatility models whose squared volatility process is given by a non-Gaussian rnstein-Uhlenbeck process. The general form of Barndorff-Nielsen and Shephard models includes two parameters: volatility risk premium $\\beta$ and leverage effect $\\rho$. Arai and Suzuki (2015, arxiv:1503.08589) dealt with the same problem under constraint $\\beta=-\\frac{1}{2}$. In this paper, we relax the restriction on $\\beta$; and restrict $\\rho$ to $0$ instead. We introduce a Malliavin calculus under the minimal martingale measure to solve the problem.
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中文摘要：
我们推导了Barndorff-Nielsen和Shephard模型的局部风险最小化表示：跳跃型随机波动率模型，其平方波动率过程由非高斯rnstein-Uhlenbeck过程给出。Barndorff-Nielsen和Shephard模型的一般形式包括两个参数：波动风险溢价$\\beta$和杠杆效应$\\rho$。Arai和Suzuki（2015，arxiv:1503.08589）在约束$\\beta=-\\frac{1}{2}$下处理了相同的问题。在本文中，我们放宽了对$\\beta$的限制；并将$\\rho$限制为0$。我们在最小鞅测度下引入Malliavin演算来解决这个问题。
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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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