Open AccessNumerical pricing of options under the exponential Ornstein–Uhlenbeck stochastic volatility model based on a DG technique
Author(s) -
Jiří Hozman,
Tomáš Tichý
Publication year - 2018
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.5082070
Subject(s) - stochastic volatility , implied volatility , mathematics , volatility (finance) , ornstein–uhlenbeck process , partial differential equation , valuation of options , discretization , volatility smile , black–scholes model , exponential function , mathematical optimization , stochastic process , econometrics , mathematical analysis , statistics
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