Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type

Elisa Nicolato and Emmanouil Venardos

Mathematical Finance, 2003, vol. 13, issue 4, 445-466

Abstract: Stochastic volatility models of the Ornstein‐Uhlenbeck type possess authentic capability of capturing some stylized features of financial time series. In this work we investigate this class of models from the viewpoint of derivative asset analysis. We discuss topics related to the incompleteness of this type of markets. In particular, for structure preserving martingale measures, we derive the price of simple European‐style contracts in closed form. Furthermore, the range of viable prices is determined and an empirical application is presented.

Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (80)

Downloads: (external link)
https://doi.org/10.1111/1467-9965.t01-1-00175

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:mathfi:v:13:y:2003:i:4:p:445-466

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().