Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation

DOI10.15559/15-VMSTA43zbMath1403.91346arXiv1601.01128MaRDI QIDQ340795

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/1601.01128

zbMATH Keywords

stochastic volatilityoption pricingOrnstein-Uhlenbeck processfinancial marketsEuler-Maruyama schemediscrete-time approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility ⋮ Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility ⋮ Stochastic differential equations with generalized stochastic volatility and statistical estimators ⋮ DG framework for pricing European options under one-factor stochastic volatility models

Uses Software

• Mathematica

Cites Work

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