European call option pricing under reflected Vasicek-Ornstein-Uhlenbeck model

zbMATH Open1424.91146MaRDI QIDQ4623637FDOQ4623637

Authors: Xiangbo Meng, Lidong Zhang 

Publication date: 22 February 2019

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zbMATH Keywords

moment matchingEuropean-style call optionreflected Vasicek-Ornstein-Uhlenbeck model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60)

Cited In (3)

• European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield
• Title not available (Why is that?)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process

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