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Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Probability distribution returns exponential Ornstein-Uhlenbeck model
2010/12/17
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatility. In this model the...
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Option pricing stochastic volatility exponential Ornstein-Uhlenbeck model
2010/12/17
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed ...