Analytically pricing European options with a two-factor Stein-Stein model

DOI10.1016/j.cam.2023.115662MaRDI QIDQ6126086

Xin-Jiang He, Xuanmeng Lin, Sha Lin

Publication date: 9 April 2024

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

analytical solutionempirical studyEuropean optionsStein-Stein modelstochastic mean reversion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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