The rate of convergence of option prices on the asset following a geometric Ornstein–Uhlenbeck process

2015 ◽  
Vol 55 (1) ◽  
pp. 134-149 ◽  
Author(s):  
Yuliya Mishura
Keyword(s):  
Rate Of Convergence ◽  
Option Prices ◽  
Uhlenbeck Process ◽  
Ornstein Uhlenbeck Process

PRICING MULTI-ASSET AMERICAN OPTION WITH STOCHASTIC CORRELATION COEFFICIENT UNDER VARIANCE GAMMA ASSET PRICE DYNAMIC

2021 ◽  
pp. 2050015
Author(s):  
FARSHID MEHRDOUST ◽  
OLDOUZ SAMIMI
Keyword(s):  
Correlation Coefficient ◽  
Stock Prices ◽  
Asset Price ◽  
Option Prices ◽  
Uhlenbeck Process ◽  
Simulation Experiments ◽  
Variance Gamma ◽  
Stochastic Correlation ◽  
Ornstein Uhlenbeck Process ◽  
Uniqueness And Existence

This paper considers a class of Levy process namely the variance gamma (VG) process to offer a more realistic way to model the dynamics of the logarithm of stock prices. Then, we verify the uniqueness and existence of the solution to the stochastic differential equation of the model. We also examine the valuation of multi-asset American options under VG model when the correlation coefficient is governed by the modified Ornstein–Uhlenbeck process. Various simulation experiments are presented and the achieved results are tested empirically for option prices using S&P 500 data.

scholarly journals Time-changed fractional Ornstein-Uhlenbeck process

2020 ◽  
Vol 23 (2) ◽  
pp. 450-483 ◽  
Author(s):  
Giacomo Ascione ◽  
Yuliya Mishura ◽  
Enrica Pirozzi
Keyword(s):  
Planck Equation ◽  
Uhlenbeck Process ◽  
Fokker Planck Equation ◽  
Ornstein Uhlenbeck Process ◽  
Fokker Planck

AbstractWe define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.

scholarly journals Using the Ornstein–Uhlenbeck process to model the evolution of interacting populations

2017 ◽  
Vol 429 ◽  
pp. 35-45 ◽  
Author(s):  
Krzysztof Bartoszek ◽  
Sylvain Glémin ◽  
Ingemar Kaj ◽  
Martin Lascoux
Keyword(s):  
Uhlenbeck Process ◽  
Interacting Populations ◽  
Ornstein Uhlenbeck Process
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