Forward-Start Options in the Barndorff-Nielsen-Shephard Model

12 Pages Posted: 29 Sep 2008

See all articles by Fiodar Kilin

Fiodar Kilin

Frankfurt School of Finance & Management

Martin Keller-Ressel

affiliation not provided to SSRN

Date Written: July 4, 2008

Abstract

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.

Keywords: Affine Models, Barndorff-Nielsen-Shephard Model, Forward-Start Options

JEL Classification: J13

Suggested Citation

Kilin, Fiodar and Keller-Ressel, Martin, Forward-Start Options in the Barndorff-Nielsen-Shephard Model (July 4, 2008). Available at SSRN: https://ssrn.com/abstract=1273844 or http://dx.doi.org/10.2139/ssrn.1273844

Fiodar Kilin (Contact Author)

Frankfurt School of Finance & Management ( email )

Adickesallee 32-34
Frankfurt am Main, 60322
Germany

HOME PAGE: http://www.frankfurt-school.de

Martin Keller-Ressel

affiliation not provided to SSRN ( email )

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