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Al`os type decomposition formula for Barndorff-Nielsen and Shephard model

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 نشر من قبل Takuji Arai
 تاريخ النشر 2020
  مجال البحث مالية
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 تأليف Takuji Arai




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The objective is to provide an Al`os type decomposition formula of call option prices for the Barndorff-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility model driven by a subordinator without drift. Al`os (2012) introduced a decomposition expression for the Heston model by using Itos formula. In this paper, we extend it to the Barndorff-Nielsen and Shephard model. As far as we know, this is the first result on the Al`os type decomposition formula for models with infinite active jumps.



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