Algebraic solution of the Stein-Stein model for stochastic volatility
O'Hara, John G.
Leach, Peter G. L.
SourceCommunications in Nonlinear Science and Numerical Simulation
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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 investigation to the case in which the parameters of the model are time-dependent. Our algorithmic approach obviates the need for Ansätze for the structure of the solution. © 2010 Elsevier B.V.
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