Option pricing under stochastic volatility: the exponential...

Journal of Statistical Mechanics Theory and Experiment 2008 / 06 Vol. 2008; Iss. 6

Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

Perelló, Josep, Sircar, Ronnie, Masoliver, Jaume
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Volume:
2008
Language:
english
Journal:
Journal of Statistical Mechanics: Theory and Experiment
DOI:
10.1088/1742-5468/2008/06/p06010
Date:
June, 2008
File:
PDF, 425 KB
english, 2008
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