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Stochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension · Study

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PreprintStochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension

Rainer Schoebel1998

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Preprintgreen1998

Stochastic Volatility with an Ornstein-Uhlenbeck Process: An Extension

Rainer Schoebel · Jianwei Zhu

90 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2016F. Ausblick auf die literarischen Horizonte von Ri 1.17–21 am Übergang von Jos zu Ri

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2006A generalization of the Hull and White formula with applications to option pricing approximation 2019Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data 2012A decomposition formula for option prices in the Heston model and applications to option pricing approximation 2006On changes of measure in stochastic volatility models 2009Pricing options under stochastic volatility: a power series approach 2003Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility 2013Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates 2012APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY

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Details

Year1998

Typepreprint

Published1998-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations90

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.100831

openalex_workW1926706674

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