3 papers
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…
q-fin.CP2023
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure
Takuji Arai, Yuto Imai
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-marting…
q-fin.CP2016
On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
Takuji Arai, Yuto Imai
We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models, where delta hedging strategies in this paper are defined under t…