Resumen de On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type

Michael Schröder

• The paper addresses the valuation of contingent claims in stochastic volatility models of Ornstein�Uhlenbeck type, stressing the situation when volatility is driven by purelydiscontinuous Lévy processes. A reduction series methodology is developed for this purpose which also provides a way for the numerical study of the value-functionals.

  The methodology is illustrated in the options case and in models based on GIGdistributions;

  numerical examples are provided. These examples show how the series enable computation accuracies of some three decimal places with just a single digit number of terms.