Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
DOI10.1007/s10986-018-9380-9zbMath1391.60205OpenAlexW2788923256MaRDI QIDQ1754533
Jacek Jakubowski, Zofia Michalik, Maciej Wiśniewolski
Publication date: 31 May 2018
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-018-9380-9
momentsMellin transformfast Fourier transformcorrelated Brownian motionspower optionsself-quanto optionssquared radial Ornstein-Uhlenbeck processStein and Stein model
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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