Analytically pricing European options with a two-factor Stein-Stein model
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Publication:6126086
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)
analytical solution; empirical study; European options; Stein-Stein model; stochastic mean reversion
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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