Pricing the European call option in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Exact formulas
We consider the Black–Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets. For volatility driven by the Ornstein–Uhlenbeck process, we establish the existence of equivalent martingale measure in the market model. The option is...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
VTeX
2015-09-01
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| Series: | Modern Stochastics: Theory and Applications |
| Assuntos: | |
| Acceso en liña: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA36CNF |
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