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

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