Option pricing under Ornstein-Uhlenbeck stochastic volatility : a linear model
Giacomo Bormetti; Valentina Cazzola; Danilo Delpini
| Year of publication: |
2010
|
|---|---|
| Authors: | Bormetti, Giacomo ; Cazzola, Valentina ; Delpini, Danilo |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 13.2010, 7, p. 1047-1063
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| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Theorie | Theory | Stochastische Volatilität | Stochastic volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008906216