Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model

Academic Article
Publication Date:
2010
Short description:
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model / Bormetti, G., Cazzola, V., Delpini, D.. - In: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE. - ISSN 0219-0249. - 13:(2010), pp. 1047-1063. [10.1142/S0219024910006108]
Iris type:
1.1 Articolo in rivista
Keywords:
Statistical methods; Option pricing; Diffusion Processes; Monte Carlo Simulation; Statistical Finance
List of contributors:
Authors of the University:
Handle:
https://iris.uniss.it/handle/11388/45695
Published in:
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE
Journal