Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- 1 April 1999
- journal article
- Published by Oxford University Press (OUP) in European Finance Review
- Vol. 3 (1) , 23-46
- https://doi.org/10.1023/a:1009803506170
Abstract
In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (S&S) (1991) where volatility follows a mean–revertingKeywords
All Related Versions
This publication has 0 references indexed in Scilit: