  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. Al\`os (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 Al\`os type decomposition formula for models with infinite active
jumps.
