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An alternative form to calibrate the correlated Stein–Stein option pricing model

Journal Article


Abstract


  • In this paper, we present an alternative form of the correlated Stein–Stein option pricing model, which preserves the analytic tractability of the original form and also demonstrates certain advantage for model implementation in practice. We shall show, through an empirical study, that this alternative form generally outperforms the original Stein–Stein form for the selected set of data, demonstrating that it can serve as a good competitor to the original Stein–Stein form in real markets.

Publication Date


  • 2019

Citation


  • He, X. & Zhu, S. (2019). An alternative form to calibrate the correlated Stein–Stein option pricing model. Computational and Applied Mathematics, 38 (2), 68-1-68-21.

Scopus Eid


  • 2-s2.0-85063302276

Start Page


  • 68-1

End Page


  • 68-21

Volume


  • 38

Issue


  • 2

Place Of Publication


  • Germany

Abstract


  • In this paper, we present an alternative form of the correlated Stein–Stein option pricing model, which preserves the analytic tractability of the original form and also demonstrates certain advantage for model implementation in practice. We shall show, through an empirical study, that this alternative form generally outperforms the original Stein–Stein form for the selected set of data, demonstrating that it can serve as a good competitor to the original Stein–Stein form in real markets.

Publication Date


  • 2019

Citation


  • He, X. & Zhu, S. (2019). An alternative form to calibrate the correlated Stein–Stein option pricing model. Computational and Applied Mathematics, 38 (2), 68-1-68-21.

Scopus Eid


  • 2-s2.0-85063302276

Start Page


  • 68-1

End Page


  • 68-21

Volume


  • 38

Issue


  • 2

Place Of Publication


  • Germany