Approximate option pricing formula for Barndorff-Nielsen and Shephard model

Takuji Arai

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Abstract: For the Barndorff-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by Arai (2021). Besides, some numerical experiments are also implemented to make sure how effective our approximations are.

Date: 2021-04
New Economics Papers: this item is included in nep-cwa
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