Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models

Eduardo Abi Jaber, Shaun, Li +1

We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor B…