1 citations · 1 across the 4 of their papers we have counts for
4 papers
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…
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…
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…
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…