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

DOI10.1088/1742-5468/2008/06/P06010zbMath1459.91201arXiv0804.2589OpenAlexW3123542752MaRDI QIDQ5853625

Ronnie Sircar, Josep Perelló, Jaume Masoliver

Publication date: 11 March 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.2589

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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