GENERALIZED BN-S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING Article

Sengupta, Indranil. (2016). GENERALIZED BN-S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING . 19(2), 10.1142/S021902491650014X

cited authors

  • Sengupta, Indranil

authors

publication date

  • March 1, 2016

keywords

  • BARNDORFF-NIELSEN
  • BLACK
  • Business & Economics
  • Business, Finance
  • Inverse-Gaussian distribution
  • Martingale measures
  • Ornstein-Uhlenbeck type process
  • Social Sciences
  • option pricing
  • volatility smile

Digital Object Identifier (DOI)

publisher

  • WORLD SCIENTIFIC PUBL CO PTE LTD

volume

  • 19

issue

  • 2