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Title:Forward-start options in the Barndorff-Nielsen-Shephard Model PDF Logo
Authors:Keller-Ressel, Martin
Kilin, Fiodar
Issue Date: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
Document Type:Working Paper
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

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