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Moments and Mellin transform of the asset price in Stein and Stein model and option pricing

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Abstract

In this paper, we derive closed formulas for moments and Mellin transform of the asset price in the stochastic volatility Stein and Stein model. Next, we present applications of our results to pricing power and self-quanto options using numerical methods.

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Authors and Affiliations

  1. Institute of Mathematics, University of Warsaw, Banacha 2, 02-097, Warszawa, Poland

    Jacek Jakubowski, Zofia Michalik & Maciej Wiśniewolski

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  1. Jacek Jakubowski
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  2. Zofia Michalik
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  3. Maciej Wiśniewolski
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Correspondence to Jacek Jakubowski.

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Jakubowski, J., Michalik, Z. & Wiśniewolski, M. Moments and Mellin transform of the asset price in Stein and Stein model and option pricing. Lith Math J 58, 33–47 (2018). https://doi.org/10.1007/s10986-018-9380-9

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  • DOI: https://doi.org/10.1007/s10986-018-9380-9

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