Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model      Econophysics  Stochastic Volatility  Monte Carlo Simulation  Option Pricing  Model Calibration       font style='font-size:12px;'> 2010/11/1

We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and Stein-Stein.

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