European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process

DOI10.15559/vmsta-2014.1.1.2zbMath1336.60134OpenAlexW2049156519MaRDI QIDQ486871

G. Rizhniak, Yuliya S. Mishura, V. P. Zubchenko

Publication date: 16 January 2015

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/vmsta-2014.1.1.2

zbMATH Keywords

stochastic differential equationoption pricingfractional geometric Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Self-similar stochastic processes (60G18)

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Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas ⋮ Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation ⋮ An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility

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