haku: @indexterm SHARE PRICE VOLATILITY / yhteensä: 11
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| 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. |
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