Florescu, Ionuţ; Viens, Frederi - In: Applied Mathematical Finance 15 (2008) 2, pp. 151-181
The problem of option pricing is treated using the Stochastic Volatility (SV) model: the volatility of the underlying asset is a function of an exogenous stochastic process, typically assumed to be mean-reverting. Assuming that only discrete past stock information is available, an interacting...