1 citations · 2 across the 9 of their papers we have counts for
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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…
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…
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…
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…
Numerical analysis on local risk-minimization forexponential Lévy models
Takuji Arai, Yuto Imai, Ryoichi Suzuki
We illustrate how to compute local risk minimization (LRM) of call options for exponential Lévy models. We have previously obtained a representation of LRM for call options; here w…