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dc.contributor.authorKeller-Ressel, Martinen_US
dc.contributor.authorKilin, Fiodaren_US
dc.date.accessioned2010-09-09en_US
dc.date.accessioned2010-09-24T09:03:57Z-
dc.date.available2010-09-24T09:03:57Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/40181-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesCPQF Working Paper Series 18en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordAffine Modelsen_US
dc.subject.keywordBarndorff-Nielsen-Shephard Modelen_US
dc.subject.keywordForward-Start Optionsen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwVolatilit├Ąten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleForward-start options in the Barndorff-Nielsen-Shephard Modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn591618591en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cpqfwp:18-
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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