OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing – through discrete differential method

DOI10.1080/10236198.2019.1583749zbMath1448.60133OpenAlexW2919234807WikidataQ128291303 ScholiaQ128291303MaRDI QIDQ5205895

Ti-Ming Yu, Yahua Yin, Shaowen Li, José Luis Roca

Publication date: 17 December 2019

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2019.1583749

zbMATH Keywords

SHIBOROU processbusiness timepositive and negative subordinate processes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Economic time series analysis (91B84) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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