Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Mathematical Finance
2021-04-23 v1
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.
Keywords
Cite
@article{arxiv.2104.10877,
title = {Approximate option pricing formula for Barndorff-Nielsen and Shephard model},
author = {Takuji Arai},
journal= {arXiv preprint arXiv:2104.10877},
year = {2021}
}
Comments
arXiv admin note: text overlap with arXiv:2005.07393