Generalized Ornstein-Uhlenbeck processes associated with martingales and their application in finance (Q2823801)
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scientific article; zbMATH DE number 6634530
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalized Ornstein-Uhlenbeck processes associated with martingales and their application in finance |
scientific article; zbMATH DE number 6634530 |
Statements
6 October 2016
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martingales
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generalized Ornstein-Uhlenbeck process
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Laplace transform
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first-passage time
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term structure
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path-dependent options
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0.9864137
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0.9116181
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0.9058273
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0.89813346
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0.8959679
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Generalized Ornstein-Uhlenbeck processes associated with martingales and their application in finance (English)
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