APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL

DOI10.1142/S021902492250008XzbMath1483.91228arXiv2104.10877OpenAlexW3152698774WikidataQ113776939 ScholiaQ113776939MaRDI QIDQ5066302

Takuji Arai

Publication date: 29 March 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.10877

zbMATH Keywords

Black-Scholes formulastochastic volatility modelsBarndorff-Nielsen and Shephard modelsapproximate option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Local risk-minimization for Barndorff-Nielsen and Shephard models
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation
• Option price decomposition in spot-dependent volatility models and some applications
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS
• Financial Modelling with Jump Processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
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