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  6. Pricing the European call option in the ...

Modern Stochastics: Theory and Applications*


Cited by 1
Pricing the European call option in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Exact formulas

Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth
Viktor Bezborodov, Luca Di Persio, Yuliya Mishura
https://doi.org/10.1007/s11009-018-9650-3
Journal  Methodology and Computing in Applied Probability (2018)


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