The probability distribution of returns in the exponential Ornstein–Uhlenbeck model

DOI10.1088/1742-5468/2008/11/P11013zbMath1456.91127arXiv0805.0540OpenAlexW3099656275MaRDI QIDQ5239449

Oreste Nicrosini, Guido Montagna, V. Cazzola, Giacomo Bormetti

Publication date: 22 October 2019

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0540

zbMATH Keywords

stochastic processesmodels of financial markets

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (2)

Pricing renewable identification numbers under uncertainty ⋮ Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The Fokker-Planck equation. Methods of solution and applications
• Financial modeling under non-Gaussian distributions.
• Interest rate models -- theory and practice. With smile, inflation and credit
• Handbook of stochastic methods for physics, chemistry and the natural sciences
• A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Probability distribution of returns in the Heston model with stochastic volatility*
• Multiple time scales in volatility and leverage correlations: a stochastic volatility model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Introduction to Econophysics
• Brownian motion in a field of force and the diffusion model of chemical reactions
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

This page was built for publication: The probability distribution of returns in the exponential Ornstein–Uhlenbeck model