APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL

Takuji Arai ()
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Takuji Arai: Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108-8345, Japan

International Journal of Theoretical and Applied Finance (IJTAF), 2022, vol. 25, issue 02, 1-26

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.

Keywords: Approximate option pricing; Stochastic volatility models; Barndorff–Nielsen and Shephard models; Black–Scholes formula (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1142/S021902492250008X

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