An alternative form to calibrate the correlated Stein-Stein option pricing model

DOI10.1007/s40314-019-0832-6zbMath1438.91152MaRDI QIDQ2322457

Xin-Jiang He, Song-Ping Zhu

Publication date: 4 September 2019

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

Full work available at URL: https://doi.org/10.1007/s40314-019-0832-6

zbMATH Keywords

empirical studies; Stein-Stein model; alternative form

Mathematics Subject Classification ID

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

Related Items

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

Cites Work

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