Research Repository

Algebraic solution of the Stein-Stein model for stochastic volatility

Sophocleous, C and O'Hara, JG and Leach, PGL (2011) 'Algebraic solution of the Stein-Stein model for stochastic volatility.' Communications in Nonlinear Science and Numerical Simulation, 16 (4). 1752 - 1759. ISSN 1007-5704

Full text not available from this repository.

Abstract

We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend our investigation to the case in which the parameters of the model are time-dependent. Our algorithmic approach obviates the need for Ansätze for the structure of the solution. © 2010 Elsevier B.V.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Computer Science and Electronic Engineering, School of
Depositing User: Jim Jamieson
Date Deposited: 01 Feb 2013 15:54
Last Modified: 05 Feb 2019 03:15
URI: http://repository.essex.ac.uk/id/eprint/5443

Actions (login required)

View Item View Item