Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
复制标题
具有波动性风险溢价的 Barndorff-Nielsen 和 Shephard 模型的局部风险最小化
DOI：
10.1007/978-981-10-0476-6_1
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Takuji Arai
中科院分区：
文献类型：
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作者：
Arai Takuji;Imai Yuto;Takuji Arai
本文给出了Barndorff-Nielsen和Shephard模型的看涨期权和看跌期权的局部风险最小化策略的表示：跳跃型随机波动率模型，其平方波动率过程由非高斯Ornstein-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β和杠杆效应ρ。Arai和Suzuki（Barndorff-Nielsen和Shephard模型的局部风险最小化。已提交。提供 http://arxiv.org/pdf/1503.08589v1 ）在约束下处理同样的问题。在本文中，我们放松了对β i的限制，并将ρ限制为0。在最小鞅测度下引入Malliavin演算来解决这个问题。
We derive representations of locally risk-minimizing strategies 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 Ornstein-Uhlenbeck process. The general form of Barndorff-Nielsen and Shephard models includes two parameters: volatility risk premiumβand leverage effectρ. Arai and Suzuki (Local risk minimization for Barndorff-Nielsen and Shephard models. submitted. Available at http://arxiv.org/pdf/1503.08589v1 ) dealt with the same problem under constraint. In this paper, we relax the restriction onβ; and restrictρto 0 instead. We introduce a Malliavin calculus under the minimal martingale measure to solve the problem.