Schöbel, Rainer; Zhu, Jianwei - Wirtschaftswissenschaftlichen Fakultät, … - 1998
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...
