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Option pricing for Barndorff-Nielsen and Shephard model by supervised deep learning
This paper aims to develop a supervised deep-learning scheme to compute call option prices for the Barndorff-Nielsen and Shephard model with a non-martingale asset price process having infinite active jumps.
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure
The Barndorff-Nielsen and Shephard model is a representative jump-type stochastic volatility model.
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
For the Barndorff-Nielsen and Shephard model, we present approximate expressions of call option prices based on the decomposition formula developed by Arai (2021).
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.
