Option pricing under stochastic volatility model.

• Main Authors: Lim, Hak Min., Lim, Gerald Kim Meng., Yeo, Yew Teck.
• 其他作者: Low, Buen Sin
• 格式: Theses and Dissertations
• 出版: 2008
• 主題: DRNTU::Business::Finance::Options
• 在線閱讀: http://hdl.handle.net/10356/7472
• 機構: Nanyang Technological University

In this paper, we examine the stochastic volatility model of Schobel and Zhu (1999) where volatility follows a mean-reverting Ornstein-Uhlenbeck process. This is basically an extension of the Stein and Stein model (1991) but which allows for correlation between instantaneous volatilities and spot re...