Forward-start options in the Barndorff-Nielsen-Shephard Model

We derive a semi-analytical formula for pricing forward-start options in the Barndorff-Nielsen- Shephard model. In terms of computational time, this formula is equivalent to one-dimensional integration.

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Year of publication:	2008
Authors:	Keller-Ressel, Martin ; Kilin, Fiodar
Publisher:	Frankfurt a. M. : Frankfurt School of Finance & Management, Centre for Practical Quantitative Finance (CPQF)
Subject:	Optionspreistheorie \| Volatilität \| Stochastischer Prozess \| Theorie \| Affine Models \| Barndorff-Nielsen-Shephard Model \| Forward-Start Options

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Series:	CPQF Working Paper Series ; 18
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	830007164 [GVK] hdl:10419/40181 [Handle] RePEc:zbw:cpqfwp:18 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010301709