Abstract
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.
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More From: International Journal of Theoretical and Applied Finance
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