@techreport{Keller-Ressel2008Forward,
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.},
address = {Frankfurt, M.},
author = {Martin Keller-Ressel and Fiodar Kilin},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G13; 330; Affine Models; Barndorff-Nielsen-Shephard Model; Forward-Start Options; Optionspreistheorie; Volatilit\"{a}t; Stochastischer Prozess; Theorie},
language = {eng},
number = {18},
publisher = {Frankfurt School of Finance & Management},
title = {Forward-start options in the Barndorff-Nielsen-Shephard Model},
type = {CPQF Working Paper Series},
url = {http://hdl.handle.net/10419/40181},
year = {2008}
}
