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

Authors

Xinjiang He, University of WollongongFollow
Song-Ping Zhu, University of WollongongFollow

RIS ID

134462

Publication Details

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.

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.