Forward-start options in the Barndorff-Nielsen-Shephard Model
AbstractWe 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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Bibliographic InfoPaper provided by Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) in its series CPQF Working Paper Series with number 18.
Date of creation: 2008
Date of revision:
Affine Models; Barndorff-Nielsen-Shephard Model; Forward-Start Options;
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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