Valorización de opciones reales: modelo Ornstein-Uhlenbeck
نویسندگان
چکیده
منابع مشابه
Ornstein - Uhlenbeck Process
Also, a process {Yt : t ≥ 0} is said to have independent increments if, for all t0 < t1 < . . . < tn, the n random variables Yt1 − Yt0 , Yt2 − Yt1 , ..., Ytn − Ytn−1 are independent. This condition implies that {Yt : t ≥ 0} is Markovian, but not conversely. The increments are further said to be stationary if, for any t > s and h > 0, the distribution of Yt+h− Ys+h is the same as the distributio...
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De Haan and Karandikar [12] introduced generalized Ornstein–Uhlenbeck processes as one-dimensional processes (Vt)t≥0 which are basically characterized by the fact that for each h > 0 the equidistantly sampled process (Vnh)n∈N0 satisfies the random recurrence equation Vnh = A(n−1)h,nhV(n−1)h + B(n−1)h,nh, n ∈ N, where (A(n−1)h,nh, B(n−1)h,nh)n∈N is an i.i.d. sequence with positive A0,h for each ...
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In this paper we consider an Ornstein-Uhlenbeck (ou) process (M(t))t>0 whose parameters are determined by an external Markov process (X(t))t>0 on a nite state space {1, . . . , d}; this process is usually referred to as Markov-modulated Ornstein-Uhlenbeck (or: mmou). We use stochastic integration theory to determine explicit expressions for the mean and variance of M(t). Then we establish a sys...
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Langevin-like equations have been studied in the presence of arbitrary noise. The characteristic functional of the generalized Langevin process has been built up. Exact results for all cumulants are given. Particular stress has been put on the Campbell, dichotomous and radioactive decay noises. Transient relaxation, susceptibility and diffusion constants for different (noisy) media have been sk...
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We introduce an extended version of the fractional Ornstein-Uhlenbeck (FOU) process where the integrand is replaced by the exponential of an independent Lévy process. We call the process the generalized fractional Ornstein-Uhlenbeck (GFOU) process. Alternatively, the process can be constructed from a generalized Ornstein-Uhlenbeck (GOU) process using an independent fractional Brownian motion (F...
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ژورنال
عنوان ژورنال: Journal of Economics, Finance and Administrative Science
سال: 2016
ISSN: 2077-1886
DOI: 10.1016/j.jefas.2016.07.001