2021
DOI: 10.48550/arxiv.2104.10877
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Approximate option pricing formula for Barndorff-Nielsen and Shephard model

Abstract: For the Barndorff-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by Arai [3]. Besides, some numerical experiments are also implemented to make sure how effective our approximations are.

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