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https://hdl.handle.net/10356/7472| Title: | Option pricing under stochastic volatility model. | Authors: | Lim, Hak Min. Lim, Gerald Kim Meng. Yeo, Yew Teck. |
Keywords: | DRNTU::Business::Finance::Options | Issue Date: | 2003 | Abstract: | 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. | URI: | http://hdl.handle.net/10356/7472 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
| Appears in Collections: | NBS Theses |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-THESES_404.pdf Restricted Access | 7.06 MB | Adobe PDF | View/Open |
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