Moments and Mellin transform of the asset price in Stein and Stein model and option pricing

DOI10.1007/S10986-018-9380-9MaRDI QIDQ1754533zbMATH OpenOpenAlexFDO

Authors Jacek Jakubowski, Zofia Michalik, Maciej Wiśniewolski

Publication date 31 May 2018

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-018-9380-9

zbMATH Keywords

Mellin transformmomentsfast Fourier transformcorrelated Brownian motionspower optionsself-quanto optionssquared radial Ornstein-Uhlenbeck processStein and Stein model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cites work

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• Note on the inversion theorem
• On matching diffusions, Laplace transforms and partial differential equations
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• Pricing Asian options in financial markets using Mellin transforms
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• Stock price distributions with stochastic volatility: an analytic approach
• The pricing of options on assets with stochastic volatilities
• The relative efficiency of method of moments estimators

Cited in

(7)

• An alternative form to calibrate the correlated Stein-Stein option pricing model
• Moments of the asset price for the Barndorff-Nielsen and Shephard model
• Application of Mellin transforms in determination the probability distribution of the stochastic volatility models
• Valuation of power options under Heston's stochastic volatility model
• An approximated European option price under stochastic elasticity of variance using Mellin transforms
• Stochastic volatility models and Kelvin waves
• Algebraic solution of the Stein-Stein model for stochastic volatility

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