{"title":"Higher order approximation of option prices in Barndorff-Nielsen and Shephard models","authors":"Álvaro Guinea Juliá, Alet Roux","doi":"10.1080/14697688.2024.2394220","DOIUrl":null,"url":null,"abstract":"We present an approximation method based on the mixing formula [Hull, J. and White, A., The pricing of options on assets with stochastic volatilities. J. Finance, 1987, 42, 281–300; Romano, M. and ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"190 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2024.2394220","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
We present an approximation method based on the mixing formula [Hull, J. and White, A., The pricing of options on assets with stochastic volatilities. J. Finance, 1987, 42, 281–300; Romano, M. and ...
我们提出了一种基于混合公式的近似方法[Hull, J. 和 White, A., The pricing of options on assets with stochastic volatilities.J. Finance, 1987, 42, 281-300; Romano, M. and ...
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The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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