The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model

Published 2009 View Full Article

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Title
The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
Authors
Keywords
-
Journal
STOCHASTIC ANALYSIS AND APPLICATIONS
Volume 27, Issue 5, Pages 875-896
Publisher
Informa UK Limited
Online
2009-08-23
DOI
10.1080/07362990903136413

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