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

9 Jun 2023  ·  Takuji Arai, Yuto Imai ·

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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