TY - JOUR
T1 - APPROXIMATE OPTION PRICING FORMULA for BARNDORFF-NIELSEN and SHEPHARD MODEL
AU - Arai, Takuji
N1 - Funding Information:
Takuji Arai gratefully acknowledges the financial support of the MEXT Grant in Aid for Scientific Research (C) No. 18K03422.
Publisher Copyright:
© 2022 World Scientific Publishing Company.
PY - 2022/3/1
Y1 - 2022/3/1
N2 - 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.
AB - 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.
KW - Approximate option pricing
KW - Barndorff-Nielsen and Shephard models
KW - Black-Scholes formula
KW - Stochastic volatility models
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U2 - 10.1142/S021902492250008X
DO - 10.1142/S021902492250008X
M3 - Article
AN - SCOPUS:85127087545
SN - 0219-0249
VL - 25
JO - International Journal of Theoretical and Applied Finance
JF - International Journal of Theoretical and Applied Finance
IS - 2
M1 - 2250008
ER -