{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,13]],"date-time":"2026-05-13T18:20:24Z","timestamp":1778696424159,"version":"3.51.4"},"reference-count":22,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2017,3,13]],"date-time":"2017-03-13T00:00:00Z","timestamp":1489363200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2017,4]]},"DOI":"10.1007\/s00780-017-0324-8","type":"journal-article","created":{"date-parts":[[2017,3,13]],"date-time":"2017-03-13T11:14:44Z","timestamp":1489403684000},"page":"551-592","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":10,"title":["Local risk-minimization for Barndorff-Nielsen and Shephard models"],"prefix":"10.1007","volume":"21","author":[{"given":"Takuji","family":"Arai","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yuto","family":"Imai","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ryoichi","family":"Suzuki","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,3,13]]},"reference":[{"key":"324_CR1","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1007\/978-981-10-0476-6_1","volume":"20","author":"T. Arai","year":"2016","unstructured":"Arai, T.: Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium. Adv. Math. Econ. 20, 3\u201322 (2016)","journal-title":"Adv. Math. Econ."},{"key":"324_CR2","doi-asserted-by":"crossref","DOI":"10.1142\/S0219024916500084","volume":"19","author":"T. Arai","year":"2016","unstructured":"Arai, T., Imai, Y., Suzuki, R.: Numerical analysis on local risk-minimization for exponential L\u00e9vy models. Int. J. Theor. Appl. Finance 19, 1650008 (2016)","journal-title":"Int. J. Theor. Appl. Finance"},{"key":"324_CR3","doi-asserted-by":"crossref","DOI":"10.1142\/S2424786315500152","volume":"2","author":"T. Arai","year":"2015","unstructured":"Arai, T., Suzuki, R.: Local risk minimization for L\u00e9vy markets. Int. J. Financ. Eng. 2, 1550015 (2015)","journal-title":"Int. J. Financ. Eng."},{"key":"324_CR4","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1007\/978-1-4612-0197-7_13","volume-title":"L\u00e9vy Processes\u2014Theory and Applications","author":"O.E. Barndorff-Nielsen","year":"2001","unstructured":"Barndorff-Nielsen, O.E., Shephard, N.: Modelling by L\u00e9vy processes for financial econometrics. In: Barndorff-Nielsen, O.E., et al. (eds.) L\u00e9vy Processes\u2014Theory and Applications, pp.\u00a0283\u2013318. Birkh\u00e4user, Basel (2001)"},{"key":"324_CR5","doi-asserted-by":"crossref","first-page":"167","DOI":"10.1111\/1467-9868.00282","volume":"63","author":"O.E. Barndorff-Nielsen","year":"2001","unstructured":"Barndorff-Nielsen, O.E., Shephard, N.: Non-Gaussian Ornstein\u2013Uhlenbeck based models and some of their uses in financial econometrics. J. R. Stat. Soc., Ser. B, Stat. Methodol. 63, 167\u2013241 (2001)","journal-title":"J. R. Stat. Soc., Ser. B, Stat. Methodol."},{"key":"324_CR6","doi-asserted-by":"crossref","first-page":"849","DOI":"10.1007\/s00780-015-0270-2","volume":"19","author":"F.E. Benth","year":"2015","unstructured":"Benth, F.E., Detering, N.: Pricing and hedging Asian-style options in energy. Finance Stoch. 19, 849\u2013889 (2015)","journal-title":"Finance Stoch."},{"key":"324_CR7","doi-asserted-by":"crossref","first-page":"61","DOI":"10.21314\/JCF.1999.043","volume":"2","author":"P. Carr","year":"1999","unstructured":"Carr, P., Madan, D.: Option valuation using the fast Fourier transform. J. Comput. Finance 2, 61\u201373 (1999)","journal-title":"J. Comput. Finance"},{"key":"324_CR8","volume-title":"Financial Modelling with Jump Processes","author":"R. Cont","year":"2004","unstructured":"Cont, R., Tankov, P.: Financial Modelling with Jump Processes. Chapman & Hall\/CRC Press, London\/Boca Raton (2004)"},{"key":"324_CR9","first-page":"197","volume-title":"Stochastic Analysis and Applications. The Abel Symposium 2005","author":"R. Cont","year":"2007","unstructured":"Cont, R., Tankov, P., Voltchkova, E.: Hedging with options in models with jumps. In: Benth, F., et al. (eds.) Stochastic Analysis and Applications. The Abel Symposium 2005, pp.\u00a0197\u2013217. Springer, Berlin (2007)"},{"key":"324_CR10","doi-asserted-by":"crossref","first-page":"1748","DOI":"10.1016\/j.spa.2010.05.001","volume":"120","author":"\u0141. Delong","year":"2010","unstructured":"Delong, \u0141., Imkeller, P.: On Malliavin\u2019s differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures. Stoch. Process. Appl. 120, 1748\u20131775 (2010)","journal-title":"Stoch. Process. Appl."},{"key":"324_CR11","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-540-78572-9","volume-title":"Malliavin Calculus for L\u00e9vy Processes with Applications to Finance","author":"G. Nunno Di","year":"2009","unstructured":"Di Nunno, G., \u00d8ksendal, B., Proske, F.: Malliavin Calculus for L\u00e9vy Processes with Applications to Finance. Springer, Berlin (2009)"},{"key":"324_CR12","doi-asserted-by":"crossref","DOI":"10.1515\/9783110282009","volume-title":"Stochastic Calculus of Variations for Jump Processes","author":"Y. Ishikawa","year":"2013","unstructured":"Ishikawa, Y.: Stochastic Calculus of Variations for Jump Processes. de Gruyter, Berlin (2013)"},{"key":"324_CR13","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1017\/S000186780000392X","volume":"42","author":"J. Kallsen","year":"2010","unstructured":"Kallsen, J., Pauwels, A.: Variance-optimal hedging in general affine stochastic volatility models. Adv. Appl. Probab. 42, 83\u2013105 (2010)","journal-title":"Adv. Appl. Probab."},{"key":"324_CR14","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1007\/s11147-009-9034-5","volume":"12","author":"J. Kallsen","year":"2009","unstructured":"Kallsen, J., Vierthauer, R.: Quadratic hedging in affine stochastic volatility models. Rev. Deriv. Res. 12, 3\u201327 (2009)","journal-title":"Rev. Deriv. Res."},{"key":"324_CR15","doi-asserted-by":"crossref","first-page":"445","DOI":"10.1111\/1467-9965.t01-1-00175","volume":"13","author":"E. Nicolato","year":"2003","unstructured":"Nicolato, E., Venardos, E.: Option pricing in stochastic volatility models of the Ornstein\u2013Uhlenbeck type. Math. Finance 13, 445\u2013466 (2003)","journal-title":"Math. Finance"},{"key":"324_CR16","volume-title":"Stochastic Integration and Differential Equations","author":"P. Protter","year":"2004","unstructured":"Protter, P.: Stochastic Integration and Differential Equations, 2nd edn. Springer, Berlin (2004)","edition":"2"},{"key":"324_CR17","doi-asserted-by":"crossref","DOI":"10.1002\/0470870230","volume-title":"L\u00e9vy Processes in Finance: Pricing Financial Derivatives","author":"W. Schoutens","year":"2003","unstructured":"Schoutens, W.: L\u00e9vy Processes in Finance: Pricing Financial Derivatives. Wiley, Hoboken (2003)"},{"key":"324_CR18","doi-asserted-by":"crossref","first-page":"538","DOI":"10.1017\/CBO9780511569708.016","volume-title":"Option Pricing, Interest Rates and Risk Management. Handbooks in Mathematical Finance","author":"M. Schweizer","year":"2001","unstructured":"Schweizer, M.: A guided tour through quadratic hedging approaches. In: Jouini, E., et al. (eds.) Option Pricing, Interest Rates and Risk Management. Handbooks in Mathematical Finance, pp.\u00a0538\u2013574. Cambridge University Press, Cambridge (2001)"},{"key":"324_CR19","doi-asserted-by":"crossref","first-page":"213","DOI":"10.4064\/bc83-0-13","volume":"83","author":"M. Schweizer","year":"2008","unstructured":"Schweizer, M.: Local risk-minimization for multidimensional assets and payment streams. Banach Cent. Publ. 83, 213\u2013229 (2008)","journal-title":"Banach Cent. Publ."},{"key":"324_CR20","series-title":"Mathematical and Analytical Techniques with Applications to Engineering","volume-title":"Theory of Stochastic Differential Equations with Jumps and Applications","author":"R. Situ","year":"2005","unstructured":"Situ, R.: Theory of Stochastic Differential Equations with Jumps and Applications. Mathematical and Analytical Techniques with Applications to Engineering. Springer, Berlin (2005)"},{"key":"324_CR21","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1016\/j.spa.2006.06.006","volume":"117","author":"J.L. Sol\u00e9","year":"2007","unstructured":"Sol\u00e9, J.L., Utzet, F., Vives, J.: Canonical L\u00e9vy process and Malliavin calculus. Stoch. Process. Appl. 117, 165\u2013187 (2007)","journal-title":"Stoch. Process. Appl."},{"key":"324_CR22","first-page":"383","volume":"7","author":"R. Suzuki","year":"2013","unstructured":"Suzuki, R.: A Clark\u2013Ocone type formula under change of measure for L\u00e9vy processes with L 2 $L^{2}$ -L\u00e9vy measure. Commun. Stoch. Anal. 7, 383\u2013407 (2013)","journal-title":"Commun. Stoch. Anal."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-017-0324-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-017-0324-8\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-017-0324-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2017,6,25]],"date-time":"2017-06-25T12:31:21Z","timestamp":1498393881000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-017-0324-8"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,3,13]]},"references-count":22,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2017,4]]}},"alternative-id":["324"],"URL":"https:\/\/doi.org\/10.1007\/s00780-017-0324-8","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2017,3,13]]}}}