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

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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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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).

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