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

Author

Listed:
  • Keller-Ressel, Martin
  • Kilin, Fiodar

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.

Suggested Citation

  • Keller-Ressel, Martin & Kilin, Fiodar, 2008. "Forward-start options in the Barndorff-Nielsen-Shephard Model," CPQF Working Paper Series 18, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
    • Handle: RePEc:zbw:cpqfwp:18
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    Citations

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    Cited by:

    1. Inklaar, Robert & Koetter, Michael & Noth, Felix, 2012. "Who's afraid of big bad banks? Bank competition, SME, and industry growth," Frankfurt School - Working Paper Series 197, Frankfurt School of Finance and Management.
    2. Dietmar Harhoff & Elisabeth Mueller & John Van Reenen, 2014. "What are the Channels for Technology Sourcing? Panel Data Evidence from German Companies," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 23(1), pages 204-224, March.
    3. Alexander Libman & Vladimir Kozlov & André Schultz, 2012. "Roving Bandits in Action: Outside Option and Governmental Predation in Autocracies," Kyklos, Wiley Blackwell, vol. 65(4), pages 526-562, November.
    4. Boeing, Philipp & Mueller, Elisabeth & Sandner, Philipp, 2012. "What makes Chinese firms productive? Learning from indigenous and foreign sources of knowledge," Frankfurt School - Working Paper Series 196, Frankfurt School of Finance and Management.
    5. Kostka, Genia & Moslener, Ulf & Andreas, Jan G., 2011. "Barriers to energy efficiency improvement: Empirical evidence from small-and-medium sized enterprises in China," Frankfurt School - Working Paper Series 178, Frankfurt School of Finance and Management.
    6. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series 171, Frankfurt School of Finance and Management.
    7. Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.

    More about this item

    Keywords

    Affine Models; Barndorff-Nielsen-Shephard Model; Forward-Start Options;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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