OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL (Q3067763): Difference between revisions
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Revision as of 11:57, 1 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL |
scientific article |
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OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL (English)
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13 January 2011
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econophysics
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stochastic volatility
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Monte Carlo simulation
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option pricing
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model calibration
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