Abstract
Barndorff-Nielsen and Shephard models are stochastic volatility models where the volatility follows a non-Gaussian Ornstein–Uhlenbeck type process. This article briefly reviews the construction of such models and discusses their application to option pricing and hedging.
| Original language | English |
|---|---|
| Title of host publication | Encyclopedia of Quantitative Finance |
| Publisher | wiley |
| Pages | 1-3 |
| Number of pages | 3 |
| ISBN (Electronic) | 9780470061602 |
| ISBN (Print) | 9780470057568 |
| DOIs | |
| Publication status | Published - 1 Jan 2010 |
Keywords
- Ornstein–Uhlebneck type process
- option pricing
- stochastic volatility
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