Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure ArXiv ID: 2306.05750 “View on arXiv” Authors: Unknown 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. Keywords: Barndorff-Nielsen and Shephard Model, Stochastic Volatility, Jump Diffusion, Option Pricing, Monte Carlo Simulation, Options ...