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

DOI10.1088/1742-5468/2008/06/P06010zbMath1459.91201arXiv0804.2589OpenAlexW3123542752MaRDI QIDQ5853625

Ronnie Sircar, Josep Perelló, Jaume Masoliver

Publication date: 11 March 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.2589

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas ⋮ On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach ⋮ An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility ⋮ A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model ⋮ Inference in generalized exponential O-U processes ⋮ INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS ⋮ VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS ⋮ Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation ⋮ DG framework for pricing European options under one-factor stochastic volatility models ⋮ Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods ⋮ The probability distribution of returns in the exponential Ornstein–Uhlenbeck model ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme

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