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Alòs type decomposition formula for Barndorff-Nielsen and Shephard model

The objective is to provide an Alòs 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. Alòs (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 Alòs type decomposition formula for models with infinite active jumps.

preprint2020arXivOpen access
Takuji Arai
q-fin.MF
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Takuji Arai

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