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
Other Authors:	TU Chemnitz, Fakultät für Mathematik
Format:	Others
Language:	English
Published:	Universitätsbibliothek Chemnitz 2008
Subjects:	Black-Scholes formula financial analysis generalized Ornstein-Uhlenbeck process hedging option pricing ddc:510 Black-Scholes-Modell Optionspreistheorie
Online Access:	http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800572 http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800572 http://www.qucosa.de/fileadmin/data/qucosa/documents/5577/data/t_06_kr_ri.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/5577/20080057.txt

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