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q-fin.MF2017
A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus
Takuji Arai, Yuto Imai
We focus on mean-variance hedging problem for models whose asset price follows an exponential additive process. Some representations of mean-variance hedging strategies for jump ty…
q-fin.MF2015★ 1 cited
Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
Takuji Arai
We derive representations of local risk-minimization of call and put options for Barndorff-Nielsen and Shephard models: jump type stochastic volatility models whose squared volatil…
q-fin.MF2015
Local risk-minimization for Barndorff-Nielsen and Shephard models
Takuji Arai, Yuto Imai, Ryoichi Suzuki
We obtain explicit representations of locally risk-minimizing strategies of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein--Uhlenbeck-type s…