haku: @indexterm financial theory / yhteensä: 142
viite: 33 / 142
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