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

MaRDI QIDQ4623637zbMATHFDO

Authors Xiangbo Meng, Lidong Zhang

Publication date 22 February 2019

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)

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Cited in

(3)

• European option pricing model with generalized Ornstein-Uhlenbeck process under stochastic earning yield and stochastic dividend yield
• scientific article; zbMATH DE number 6409288 (Why is no real title available?)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process

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