2 papers
q-fin.CP2025
Numerical analysis on locally risk-minimizing strategies for Barndorff-Nielsen and Shephard models
Takuji Arai
We develop a numerical method for locally risk-minimizing (LRM) strategies for Barndorff-Nielsen and Shephard (BNS) models. Arai et al. (2017) derived a mathematical expression for…
q-fin.CP2024
Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning
Takuji Arai, Yuto Imai
This paper aims to develop a supervised deep-learning scheme to compute call option prices for the Barndorff-Nielsen and Shephard model with a non-martingale asset price process ha…