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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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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