Lithuanian Mathematical Journal

, Volume 58, Issue 1, pp 33–47 | Cite as

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

  • Jacek Jakubowski
  • Zofia Michalik
  • Maciej Wiśniewolski


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.


Stein and Stein model correlated Brownian motions moments squared radial Ornstein–Uhlenbeck process Mellin transform fast Fourier transform power options self-quanto options 


60J70 91G80 60H30 


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© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  • Jacek Jakubowski
    • 1
  • Zofia Michalik
    • 1
  • Maciej Wiśniewolski
    • 1
  1. 1.Institute of MathematicsUniversity of WarsawWarszawaPoland

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