most citedLocal risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium

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q-fin.CP2015

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…