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Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin
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Kilin, Fiodar
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2008
Persistent link: https://www.econbiz.de/10003801799
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Forward-start options in the Barndorff-Nielsen-Shephard Model
Keller-Ressel, Martin
;
Kilin, Fiodar
-
2008
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
Persistent link: https://www.econbiz.de/10011293920
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