Abstracts

We present an extension of the Barndorff-Nielsen-Shephard stochastic volatility model class, where the jumps in the asset price and the jumps in the asset volatility are partially disentangled. For certain special cases, where jump dependence is established by linear or time change constructions, we deduce the characteristic function in a semi-closed form. In case of jumps following a compound Poisson processes with exponential jumps, we derive the weak-link Gamma-OU-BNS model, which has a true closed-form characteristic function and yields the Gamma-OU-BNS model in a limit case.