Research PaperNo Access

APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL

TAKUJI ARAI

Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108-8345, Japan

https://doi.org/10.1142/S021902492250008XCited by:1 (Source: Crossref)

Abstract

For the Barndorf-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by [T. Arai (2021) Alos type decomposition formula for Barndor-Nielsen and Shephard model, Journal of Stochastic Analysis2 (2), 3]. Besides, some numerical experiments are also implemented to make sure how effective our approximations are.

Keywords:

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