Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
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Publication:340779
DOI10.15559/15-VMSTA36CNFzbMath1403.91345arXiv1510.01848MaRDI QIDQ340779
Sergii Kuchuk-Iatsenko, Yuliya S. Mishura
Publication date: 15 November 2016
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.01848
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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