Barndorff-Nielsen and Shephard (BNS) Models

Peter Tankov

doi:10.1002/9780470061602.eqf08017

Barndorff-Nielsen and Shephard (BNS) Models

Peter Tankov

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Résumé

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.

langue originale	Anglais
titre	Encyclopedia of Quantitative Finance
Editeur	wiley
Pages	1-3
Nombre de pages	3
ISBN (Electronique)	9780470061602
ISBN (imprimé)	9780470057568
Les DOIs	https://doi.org/10.1002/9780470061602.eqf08017
état	Publié - 1 janv. 2010

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10.1002/9780470061602.eqf08017

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Barndorff-Nielsen and Shephard (BNS) Models

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