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

Author： Benth Fred Espen   Groth Martin  

Publisher： Taylor & Francis Ltd

ISSN： 0736-2994

Source： Stochastic Analysis and Applications, Vol.27, Iss.5, 2009-09, pp. : 875-896

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