scientific article; zbMATH DE number 2058892

MaRDI QIDQ4455449zbMATH OpenFDO

Authors A. V. Bayev, B. V. Bondarev

Publication date 16 March 2004

zbMATH Keywords

arbitrage-free modelbonds priceOrnstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic processes (60G99) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(15)

• Affine processes and applications in finance
• Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models
• The Ornstein-Uhlembeck equation and a related Malliavin calculus
• On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
• Skew Ornstein-Uhlenbeck processes and their financial applications
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• The probabilistic properties of Vasicek-Ornstein-Uhlenbeck processes
• Generalized Ornstein-Uhlenbeck processes associated with martingales and their application in finance
• A dual martingale method for the option pricing of the stock prices following the O-U process
• THE SQUARED ORNSTEIN‐UHLENBECK MARKET
• European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process
• Geometric Brownian motion and Ornstein-Uhlenbeck process modeling banks' deposits
• Regulated Ornstein-Uhlenbeck process in pandemic-time asset pricing of stocks and derivatives
• Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing

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