Stochastic volatility and stochastic interest rates with mean-reverting Ornstein-Uhlenbeck and square root processing

Rehez Ahlip, Rik King

    Research output: Chapter in Book / Conference PaperConference Paper

    Abstract

    ![CDATA[In this paper, we extend the stochastic volatility model of Stein and Stein [25], where the volatility is given by a mean-reverting Ornstein-Uhlenbeck process to include stochastic interest rate given by mean-reverting square root process independent of stock returns. A closed-form pricing solution for European options is derived.]]
    Original languageEnglish
    Title of host publicationInternational Conference on Stochastic Finance, held in Lisbon, Portugal, 26-30 September, 20044
    PublisherUniversidade Tecnica de Lisboa, Portugal
    Number of pages1
    Publication statusPublished - 2005
    EventInternational Conference on Stochastic Finance -
    Duration: 1 Jan 2005 → …

    Conference

    ConferenceInternational Conference on Stochastic Finance
    Period1/01/05 → …

    Keywords

    • interest rates
    • stochastic analysis
    • pricing
    • volatility

    Fingerprint

    Dive into the research topics of 'Stochastic volatility and stochastic interest rates with mean-reverting Ornstein-Uhlenbeck and square root processing'. Together they form a unique fingerprint.

    Cite this