Option pricing with mean reversion and stochastic volatility.

Hoi Ying Wong Yu Wai Lo

Published in: Eur. J. Oper. Res. (2009)

Keyphrases

option pricing
stock price
stock market
non stationary
financial markets
portfolio selection
black scholes
stock exchange
exchange rate
historical data
news articles
stochastic model
decision analysis
capital budgeting
financial data
long term
black scholes model
real option
stochastic processes