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

@inproceedings{Perell2008OptionPU,
  title={Option pricing under stochastic volatility : the exponential Ornstein-Uhlenbeck model},
  author={Josep Perell{\'o} and Ronnie Sircar},
  year={2008}
}
Jaume Masoliver‡ Departament de F́ısica Fonamental, Universitat de Barcelona, Diagonal, 647, E-08028 Barcelona, Spain (Dated: May 28, 2008) Abstract We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process… CONTINUE READING

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