Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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Publication:4943153
DOI10.1023/A:1009803506170zbMath1028.91026OpenAlexW3125505968MaRDI QIDQ4943153
Publication date: 16 March 2000
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009803506170
stochastic volatilityoption pricingOrnstein-Uhlenbeck processmean-reversionvolatility smileFourier inversion
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)
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