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Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
16 references·4 citing·34 second hop
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References

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  • 2000

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Derivatives in Financial Markets with Stochastic Volatility
916 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • Cited by

    • 2009First-passage and risk evaluation under stochastic volatility45 cited
    • 2008Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model42 cited
    • 2008Escape problem under stochastic volatility: The Heston model40 cited
    • 2016Interest rate model in uncertain environment based on exponential Ornstein–Uhlenbeck equation31 cited