报告人：

杨旭 (Universidade Federal de Alagoas)

时间：

12月26日下午14：00-15：00

地点:

维格堂 113

We calibrate the risk premium for the stochastic volatility modelthat was proposed by Stein and Stein in 1991. In this model, it is assumedthat the asset prices follow a diusive process where the volatility is drivenby an arithmetic Ornstein-Uhlenbeck process. The calibration of a linear riskpremium was proposed by Velez in 2007. We generalize the method to thenonlinear case and show by means of numerical examples that we can get goodadherence to quoted option prices.