Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/40181
Authors: 
Keller-Ressel, Martin
Kilin, Fiodar
Year of Publication: 
2008
Series/Report no.: 
CPQF Working Paper Series 18
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.
Subjects: 
Affine Models
Barndorff-Nielsen-Shephard Model
Forward-Start Options
JEL: 
G13
Document Type: 
Working Paper

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