EconStor >
Frankfurt School of Finance and Management, Frankfurt a. M. >
CPQF Working Paper Series, Frankfurt School of Finance and Management >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/40181
  
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
JEL:G13
Document Type:Working Paper
Appears in Collections:CPQF Working Paper Series, Frankfurt School of Finance and Management

Files in This Item:
File Description SizeFormat
591618591.pdf259.43 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/40181

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.