Algebraic solution of the Stein-Stein model for stochastic volatility

作者：Sophocleous C; O'Hara J G; Leach P G L^*

来源：Communications in Nonlinear Science & Numerical Simulation, 2011, 16(4): 1752-1759.

DOI：10.1016/j.cnsns.2010.08.008

• Symmetry analysis
• Similarity solutions
• Stochastic processes
• Nonlinear evolution equations

We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure We extend our investigatio

• 出版日期2011-4