Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect
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Publication:5407031
DOI10.1239/jap/1389370102zbMath1296.60228OpenAlexW1977372173MaRDI QIDQ5407031
Publication date: 4 April 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.jap/1389370102
Ornstein-Uhlenbeck processsteady statemoment generating functionmoment matchingdiscrete processthick size
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Cites Work
- The Pricing of Options and Corporate Liabilities
- First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
- The rate of convergence of the binomial tree scheme
- Generalized Cox-Ross-Rubinstein Binomial Models
- The discrete uhlenbeck–ornstein process
- A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
- Pricing Interest-Rate-Derivative Securities
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