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

  title={Option pricing under stochastic volatility : the exponential Ornstein-Uhlenbeck model},
  author={Josep Perell{\'o} and Ronnie Sircar},
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


Publications referenced by this paper.
Showing 1-10 of 38 references

The skewed multifractal random walk with applications to option smiles

  • B. Pochart, J.-P. Bouchaud
  • Quantitative Finance 2
  • 2002
Highly Influential
7 Excerpts


  • J.-P. Fouque
  • Papanicolaou and K. R. Sircar Mean-reveting…
  • 2000
Highly Influential
7 Excerpts


  • J. C. Hull
  • Futures, and other derivatives, Prentice Hall…
  • 1997
Highly Influential
8 Excerpts

Option Pricing when the Variance changes randomly: Theory

  • L. Scott
  • Estimation, and an Application, J. Financial and…
  • 1987
Highly Influential
6 Excerpts

and R

  • R. Remer
  • Mahnke Application of Heston model and its…
  • 2004
Highly Influential
5 Excerpts

and K

  • J.-P. Fouque, G. Papanicolaou
  • R. Sircar, Derivatives in Financial Markets with…
  • 2000
Highly Influential
7 Excerpts

Similar Papers

Loading similar papers…