Open AccessFurther analysis on volatility function selection for simulating European option prices under Ornstein-Uhlenbeck stochastic volatility assumption
Author(s) -
B. P. N. Simanjuntak,
B. D. Handari,
G. F. Hartono
Publication year - 2019
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.5132454
Subject(s) - stochastic volatility , implied volatility , volatility (finance) , volatility smile , valuation of options , call option , econometrics , sabr volatility model , strike price , black–scholes model , economics , forward volatility , heston model , mathematics , mathematical optimization , computer science
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom