Option pricing in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Simulation
We consider a discrete-time approximation of paths of an Ornstein–Uhlenbeck process as a mean for estimation of a price of European call option in the model of financial market with stochastic volatility. The Euler–Maruyama approximation scheme is implemented. We determine the estimates for the opti...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2015-12-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA43 |