APPROXIMATE OPTION PRICING FORMULA for BARNDORFF-NIELSEN and SHEPHARD MODEL

研究成果: Article査読

抄録

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.

本文言語English
論文番号2250008
ジャーナルInternational Journal of Theoretical and Applied Finance
25
2
DOI
出版ステータスPublished - 2022 3月 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(全般)

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