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

DOI10.1080/10236198.2019.1583749MaRDI QIDQ5205895zbMATH OpenOpenAlexWikidataFDO

Authors Yahua Yin, Shaowen Li, Ti-Ming Yu, 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)

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Cites work

• A jump-diffusion model for option pricing
• A novel pricing method for European options based on Fourier-cosine series expansions
• A theory of the term structure of interest rates
• Mean square calculus and random linear fractional differential equations: theory and applications
• Multiplier method and exact solutions for a density dependent reaction-diffusion equation
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option pricing for a logstable asset price model
• Option pricing when underlying stock returns are discontinuous
• Spectral GMM estimation of continuous-time processes
• Tempering stable processes
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(1)

• Studying term structure of SHIBOR with the two-factor Vasicek model

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