haku: @indexterm SHARE PRICE VOLATILITY / yhteensä: 11
viite: 4 / 11
Tekijä:Schöbel, R.
Zhu, J.
Otsikko:Stochastic volatility with an Ornstein-Uhlenbeck process: An extension
Lehti:European Finance Review
1999 : VOL. 3:1, p. 23-46
Asiasana:Stochastic processes
Financial theory
Share price volatility
Kieli:eng
Tiivistelmä:The authors reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility follows a mean-reverting Ornstein-Uhlenbeck process. Using Fourier inversion techniques they are able to allow for correlation between instantaneous volatilities and the underlying stock returns. A closed-form pricing solution for European options is derived and some numerical examples are given.
SCIMA tietueen numero: 203164
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