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Option price with stochastic volatility for both fast and slow mean-reverting regimes

✍ Scribed by Zhang, Qiang; Han, Jiguang; Gao, Ming

Book ID
120487640
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
379 KB
Volume
351
Category
Article
ISSN
1631-073X

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FFT based option pricing under a mean re
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✍ E. Pillay; J.G. O’Hara πŸ“‚ Article πŸ“… 2011 πŸ› Elsevier Science 🌐 English βš– 228 KB

Numerous studies present strong empirical evidence that certain financial assets may exhibit mean reversion, stochastic volatility or jumps. This paper explores the valuation of European options when the underlying asset follows a mean reverting log-normal process with stochastic volatility and jump