Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type

DOI10.1111/1467-9965.t01-1-00175zbMath1105.91020MaRDI QIDQ4825509

Elisa Nicolato, Emmanouil Venardos

Publication date: 28 October 2004

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00175

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B70: Stochastic models in economics

91B24: Microeconomic theory (price theory and economic markets)

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

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