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

DOI10.1080/10236198.2019.1583749zbMATH Open1448.60133OpenAlexW2919234807WikidataQ128291303 ScholiaQ128291303MaRDI QIDQ5205895FDOQ5205895

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

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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

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

Cited In (1)

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

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