2 citations · 4 across the 13 of their papers we have counts for
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q-fin.MF2019
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…
q-fin.MF2019★ 2 cited
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…