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2021-04-22
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
Takuji Arai
文献摘要
For the Barndorff-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by Arai (2021). Besides, some numerical experiments are also implemented to make sure how effective our approximations are.
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