Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Download full text from publisher
References listed on IDEAS
- Miccichè, Salvatore & Bonanno, Giovanni & Lillo, Fabrizio & Mantegna, Rosario N, 2002.
"Volatility in financial markets: stochastic models and empirical results,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 314(1), pages 756-761.
- Salvatore Micciche` & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2002. "Volatility in Financial Markets: Stochastic Models and Empirical Results," Papers cond-mat/0202527, arXiv.org.
- Adrian Dragulescu & Victor Yakovenko, 2002.
"Probability distribution of returns in the Heston model with stochastic volatility,"
Taylor & Francis Journals, vol. 2(6), pages 443-453.
- A. Dragulescu & V. M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Computing in Economics and Finance 2002 127, Society for Computational Economics.
- Adrian A. Dragulescu & Victor M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Papers cond-mat/0203046, arXiv.org, revised Nov 2002.
- Jaume Masoliver & Josep Perello, 2006.
"Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model,"
Taylor & Francis Journals, vol. 6(5), pages 423-433.
- Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, arXiv.org.
- Stein, Elias M & Stein, Jeremy C, 1991. "Stock Price Distributions with Stochastic Volatility: An Analytic Approach," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 727-752.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008. "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers 0804.2589, arXiv.org, revised May 2008.
- Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, EconWPA.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0905.1882. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .