Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model
Mathematical Finance
2020-09-08 v2
Abstract
The objective is to provide an Al\`os type decomposition formula of call option prices for the Barndorff-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility model driven by a subordinator without drift. Al\`os (2012) introduced a decomposition expression for the Heston model by using Ito's formula. In this paper, we extend it to the Barndorff-Nielsen and Shephard model. As far as we know, this is the first result on the Al\`os type decomposition formula for models with infinite active jumps.
Keywords
Cite
@article{arxiv.2005.07393,
title = {Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model},
author = {Takuji Arai},
journal= {arXiv preprint arXiv:2005.07393},
year = {2020}
}