Alòs Type Decomposition Formula for Barndorff-Nielsen and Shephard Model
Takuji Arai · Journal of Stochastic Analysis · 2021
An Alòs type decomposition formula for call options is established for the Barndor↵-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility model driven by a subordinator without drift.Alòs [2] introduced a decomposition expression for the Heston model by using Ito's formula.In this paper, we extend it to the Barndor↵-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.