{"title":"Alòs Barndorff-Nielsen和Shephard模型的类型分解公式","authors":"Takuji Arai","doi":"10.31390/josa.2.2.03","DOIUrl":null,"url":null,"abstract":"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 Ito's 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.","PeriodicalId":263604,"journal":{"name":"Journal of Stochastic Analysis","volume":"41 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Alòs Type Decomposition Formula for Barndorff-Nielsen and Shephard Model\",\"authors\":\"Takuji Arai\",\"doi\":\"10.31390/josa.2.2.03\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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 Ito's 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.\",\"PeriodicalId\":263604,\"journal\":{\"name\":\"Journal of Stochastic Analysis\",\"volume\":\"41 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-05-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Stochastic Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.31390/josa.2.2.03\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Stochastic Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.31390/josa.2.2.03","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Alòs Type Decomposition Formula for Barndorff-Nielsen and Shephard Model
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 Ito's 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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