Option pricing under stochastic volatility model.

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...

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Main Authors:	Lim, Hak Min., Lim, Gerald Kim Meng., Yeo, Yew Teck.
Other Authors:	Low, Buen Sin
Format:	Theses and Dissertations
Published:	2008
Subjects:	DRNTU::Business::Finance::Options
Online Access:	http://hdl.handle.net/10356/7472
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-7472
record_format	dspace
spelling	sg-ntu-dr.10356-74722024-01-12T10:32:25Z Option pricing under stochastic volatility model. Lim, Hak Min. Lim, Gerald Kim Meng. Yeo, Yew Teck. Low, Buen Sin Nanyang Business School DRNTU::Business::Finance::Options 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 returns. Master of Science (Financial Engineering) 2008-09-18T07:46:10Z 2008-09-18T07:46:10Z 2003 2003 Thesis http://hdl.handle.net/10356/7472 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Options
spellingShingle	DRNTU::Business::Finance::Options Lim, Hak Min. Lim, Gerald Kim Meng. Yeo, Yew Teck. Option pricing under stochastic volatility model.
description	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 returns.
author2	Low, Buen Sin
author_facet	Low, Buen Sin Lim, Hak Min. Lim, Gerald Kim Meng. Yeo, Yew Teck.
format	Theses and Dissertations
author	Lim, Hak Min. Lim, Gerald Kim Meng. Yeo, Yew Teck.
author_sort	Lim, Hak Min.
title	Option pricing under stochastic volatility model.
title_short	Option pricing under stochastic volatility model.
title_full	Option pricing under stochastic volatility model.
title_fullStr	Option pricing under stochastic volatility model.
title_full_unstemmed	Option pricing under stochastic volatility model.
title_sort	option pricing under stochastic volatility model.
publishDate	2008
url	http://hdl.handle.net/10356/7472
_version_	1789483216974905344

Option pricing under stochastic volatility model.

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