Algebraic solution of the Stein-Stein model for stochastic volatility
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Publication:718482
DOI10.1016/J.CNSNS.2010.08.008zbMATH Open1221.91059OpenAlexW2041580863MaRDI QIDQ718482FDOQ718482
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.08.008
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Cites Work
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Lie symmetry analysis of differential equations in finance
- Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
- Complete Specification of Some Partial Differential Equations That Arise in Financial Mathematics
- Invariance properties of a general bond-pricing equation
- On the systematic approach to the classification of differential equations by group theoretical methods
- Berry's phase and wavefunctions for time-dependent Hamilton systems
- Algebraic properties of evolution partial differential equations modelling prices of commodities
- Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
Cited In (11)
- PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Symmetry analysis of a model of stochastic volatility with time-dependent parameters
- Option pricing: the reduced-form SDE model
- Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
- Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters
- Lie symmetries of generalized Burgers equations: application to boundary-value problems
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility
- A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
- Stochastic volatility models and Kelvin waves
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