Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (Q4943153)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1415839
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension |
scientific article; zbMATH DE number 1415839 |
Statements
Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (English)
0 references
16 March 2000
0 references
option pricing
0 references
mean-reversion
0 references
volatility smile
0 references
stochastic volatility
0 references
Ornstein-Uhlenbeck process
0 references
Fourier inversion
0 references
0.8244407176971436
0 references
0.8227353692054749
0 references
0.8186066150665283
0 references
0.7931647300720215
0 references
0.7906429171562195
0 references
