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Modern Stochastics: Theory and Applications


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Option pricing in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Simulation

PROCEEDINGS OF THE 4TH INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES (ISCPMS2018)
B. P. N. Simanjuntak, B. D. Handari, G. F. Hartono
https://doi.org/10.1063/1.5132454
Conference:  PROCEEDINGS OF THE 4TH INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES (ISCPMS2018) (PROCEEDINGS OF THE 4TH INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES (ISCPMS2018)) Volume 2168 (2019), p. 020027


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