Local risk-minimization for Barndorff-Nielsen and Shephard models

Author: Takuji Arai, Ryoichi Suzuki
Date: 2015/3
No: DPDP2015-003
JEL Classification codes: G10
Language: English
[ Abstract ]
We calculate explicit representations of locally risk-minimizing of call and put options for the Barndorff-Nielsen and Shephard models.