A Generalized Bivariate Ornstein-Uhlenbeck Model for Financial Assets
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...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | English |
| Published: |
Universitätsbibliothek Chemnitz
2008
|
| Subjects: | |
| 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 |
Search Result 1