Forward-Start Options in the Barndorff-Nielsen-Shephard Model
12 Pages Posted: 29 Sep 2008
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: 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
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