Before revision: The objective is to provide an Al\`os type decomposition formula and an approximate option pricing formula for the Barndorff-Nielsen and Shephard model: an Ornstein-Uhlenbeck type stochastic volatility model driven by a subordinator without drift.
After revision: 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.