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We consider a discrete-time approximation of paths of an Ornstein--Uhlenbeckprocess as a mean for estimation of a price of European call option in themodel of financial market with stochastic volatility. The Euler--Maruyamaapproximation scheme is implemented. We determine the estimates for the optionprice for predetermined sets of parameters. The rate of convergence of theprice and an average volatility when discretization intervals tighten aredetermined. Discretization precision is analyzed for the case where the exactvalue of the price can be derived.

Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation