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In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility follows a mean-reversion Ornstein-Uhlenbeck process. Using Fourier inversion techniques we are able to allow for correlation between instan-taneous volatilities and the underlying...
Persistent link: https://www.econbiz.de/10010435470
Persistent link: https://www.econbiz.de/10000676009
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In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility follows a mean-reversion Ornstein-Uhlenbeck process. Using Fourier inversion techniques we are able to allow for correlation between instan-taneous volatilities and the underlying...
Persistent link: https://www.econbiz.de/10010404258
Persistent link: https://www.econbiz.de/10013268704