APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL-Reference-Cited by-同舟云学术

APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL

Published:2022-03 Issue:02 Volume:25 Page:
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

ARAI TAKUJI¹

Affiliation:

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

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 Analysis 2 (2), 3]. Besides, some numerical experiments are also implemented to make sure how effective our approximations are.

Funder

Japan Society for the Promotion of Science

Publisher

World Scientific Pub Co Pte Ltd

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S021902492250008X

Reference12 articles.

1. A decomposition formula for option prices in the Heston model and applications to option pricing approximation

2. CALIBRATION OF STOCHASTIC VOLATILITY MODELS VIA SECOND-ORDER APPROXIMATION: THE HESTON CASE

3. Alòs Type Decomposition Formula for Barndorff-Nielsen and Shephard Model

4. Local risk-minimization for Barndorff-Nielsen and Shephard models

5. Local risk-minimization for Lévy markets

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