Analytically pricing European options with a two-factor Stein-Stein model

DOI10.1016/j.cam.2023.115662MaRDI QIDQ6126086

Xin-Jiang He, Xuanmeng Lin, Sha Lin

Publication date: 9 April 2024

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

zbMATH Keywords

analytical solution; empirical study; European options; Stein-Stein model; stochastic mean reversion

Mathematics Subject Classification ID

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

Cites Work

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