2 citations · 4 across the 9 of their papers we have counts for
10 papers
Local risk-minimization for exponential additive processes
Takuji Arai
We explore local risk-minimization, a quadratic hedging method for incomplete markets, in exponential additive models. The objectives are to derive explicit mathematical expression…
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Takuji Arai
For the Barndorff-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by Arai (2021). Besides, some nu…
Alòs type decomposition formula for Barndorff-Nielsen and Shephard model
Takuji Arai
The objective is to provide an Alòs type decomposition formula of call option prices for the Barndorff-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility…
A Clark-Ocone type formula via Ito calculus and its application to finance
Takuji Arai, Ryoichi Suzuki
An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a ma…
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
Takuji Arai
The VIX call options for the Barndorff-Nielsen and Shephard models will be discussed. Derivatives written on the VIX, which is the most popular volatility measurement, have been tr…
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
Takuji Arai, Yuto Imai, Ryo Nakashima
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose…