Arbeitspapier
Stochastic volatility with an Ornstein-Uhlenbeck process: An extension
In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility follows a mean-reversion Ornstein-Uhlenbeck process. Using Fourier inversion techniques we are able to allow for correlation between instan-taneous volatilities and the underlying stock returns. A closed-form pricing Solution for European options is derived and some numerical examples are given.
- Language
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Englisch
- Bibliographic citation
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Series: Tübinger Diskussionsbeiträge ; No. 139
- Classification
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Wirtschaft
- Subject
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Börsenkurs
Volatilität
Stochastischer Prozess
Optionspreistheorie
Theorie
- Event
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Geistige Schöpfung
- (who)
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Schöbel, Rainer
Zhu, Jianwei
- Event
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Veröffentlichung
- (who)
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Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
- (where)
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Tübingen
- (when)
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1998
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schöbel, Rainer
- Zhu, Jianwei
- Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 1998
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