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MEAN-REVERTING STOCHASTIC VOLATILITY

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References

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1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
1990ARCH models as diffusion approximations943 cited
1987Option values under stochastic volatility: Theory and empirical estimates904 cited

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1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited

Cited by

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2003Pricing Asian options with stochastic volatility64 cited
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2013Option pricing under hybrid stochastic and local volatility50 cited
2002PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT48 cited
2002A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS46 cited
2008Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models42 cited
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