Multiple Time Scales and the Exponential Ornstein-Uhlenbeck Stochastic Volatility Model
نویسندگان
چکیده
منابع مشابه
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Jaume Masoliver‡ Departament de F́ısica Fonamental, Universitat de Barcelona, Diagonal, 647, E-08028 Barcelona, Spain (Dated: May 28, 2008) Abstract We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.654521