论文标题
Barndorff-Nielsen和Shephard模型的Alòs类型分解公式
Alòs type decomposition formula for Barndorff-Nielsen and Shephard model
论文作者
论文摘要
目的是为Barndorff-Nielsen和Shephard型号提供呼叫期权价格的Alòs类型分解公式：Ornstein-Uhlenbeck类型的随机波动型模型，该模型由不存在漂移的下属驱动。 Alòs（2012）通过使用ITO的公式为Heston模型引入了分解表达。在本文中，我们将其扩展到Barndorff-Nielsen和Shephard模型。据我们所知，这是ALòs类型分解公式的第一个结果，用于具有无限活动跳跃的模型。
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.
