Forward-start options in the Barndorff-Nielsen-Shephard Model

Martin Keller-Ressel and Fiodar Kilin

No 18, CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)

Abstract: We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In terms of computational time, this formula is equivalent to one-dimensional integration.

Keywords: Affine Models; Barndorff-Nielsen-Shephard Model; Forward-Start Options (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:cpqfwp:18

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