On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type

DOI10.1016/j.cam.2013.09.038zbMath1293.91180OpenAlexW1985749564MaRDI QIDQ2511180

Michael Schröder

Publication date: 5 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.cam.2013.09.038

zbMATH Keywords

Lévy processesstochastic volatility modelsexplicit methods for contingent claim valuationprocesses of Ornstein-Uhlenbeck type

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Stationary stochastic processes (60G10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance

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