Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7472
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dc.contributor.authorLim, Hak Min.en_US
dc.contributor.authorLim, Gerald Kim Meng.en_US
dc.contributor.authorYeo, Yew Teck.en_US
dc.date.accessioned2008-09-18T07:46:10Z-
dc.date.available2008-09-18T07:46:10Z-
dc.date.copyright2003en_US
dc.date.issued2003-
dc.identifier.urihttp://hdl.handle.net/10356/7472-
dc.description.abstractIn 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.en_US
dc.rightsNanyang Technological Universityen_US
dc.subjectDRNTU::Business::Finance::Options-
dc.titleOption pricing under stochastic volatility model.en_US
dc.typeThesisen_US
dc.contributor.supervisorLow, Buen Sinen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
dc.description.degreeMaster of Science (Financial Engineering)en_US
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