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arXiv · 2306.05750

Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure

Takuji Arai·Yuto Imai
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Abstract

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-martingale case with infinite active jumps. We develop two simulation methods for such a case under change of measure and conduct some numerical experiments.

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Takuji Arai, Yuto Imai. 2023-06-09. Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure. https://arxiv.org/abs/2306.05750

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