A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets

A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets

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In this paper, we study mathematical properties of a generalized bivariate Ornstein-Uhlenbeck model for financial assets. Originally introduced by Lo and Wang, this model possesses a stochastic drift term which influences the statistical properties of the asset in the real (observable) world. Furthe...

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Bibliographic Details
Main Authors: Krämer, Romy, Richter, Matthias
Language:English
Published: Technische Universität Chemnitz 2008
Subjects:
info:eu-repo/classification/ddc/510
ddc:510
Black-Scholes-Modell
Optionspreistheorie
Black-Scholes formula
financial analysis
generalized Ornstein-Uhlenbeck process
hedging
option pricing
Online Access:http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800572
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http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800572
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