Moments and Mellin transform of the asset price in Stein and Stein model and option pricing

被引：0
|
作者：
Jacek Jakubowski
Zofia Michalik
Maciej Wiśniewolski
机构：
[1] University of Warsaw,Institute of Mathematics
来源：
Lithuanian Mathematical Journal | 2018年 / 58卷
关键词：
Stein and Stein model; correlated Brownian motions; moments; squared radial Ornstein–Uhlenbeck process; Mellin transform; fast Fourier transform; power options; self-quanto options; 60J70; 91G80; 60H30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we derive closed formulas for moments and Mellin transform of the asset price in the stochastic volatility Stein and Stein model. Next, we present applications of our results to pricing power and self-quanto options using numerical methods.
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收藏
页码：33 / 47
页数：14
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