Moments of the asset prices for the Barndorff-Nielsen and Shephard model
Atif Ihsan (Ph.D. student)
Department of Mathematics, North Dakota State University.
Advisor: Dr. Indranil SenGupta, Department of Mathematics, North Dakota State University.
Abstract: In this presentation we will derive closed-form formulas for moments of the asset price in the Brandorff-Nielsen and Shephard (BN-S) stochastic volatility model. It will be shown that the results depend on the cumulant transform of the background driving Lévy process for the models. We will also obtain various approximate expressions for the expected value of the square root process for the shifted asset price with respect to the BN-S model.