摘要翻译：
研究了标的资产波动率随机且服从指数Ornstein-Uhlenbeck模型的欧式看涨期权的定价问题。所提出的随机扩散模型是一个二维市场过程，以对数布朗运动描述价格动态，以Ornstein-Uhlenbeck从属过程描述对数波动率的随机性。我们导出了当(i)波动率的波动大于正常水平，(ii)波动率向正常水平呈现缓慢的驱动力，(iii)市场风险价格是对数波动率的线性函数时有效的近似期权价格。我们研究由此产生的欧洲看涨价格及其隐含波动率的一系列参数与每日道琼斯指数数据一致。
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英文标题：
《Option pricing under stochastic volatility: the exponential
  Ornstein-Uhlenbeck model》
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作者：
Josep Perello, Ronnie Sircar, Jaume Masoliver
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Physics        物理学
二级分类：Computational Physics        计算物理学
分类描述：All aspects of computational science applied to physics.
应用于物理学的计算科学的各个方面。
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones Index data.
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PDF链接：
https://arxiv.org/pdf/0804.2589