Regulated Ornstein-Uhlenbeck process in pandemic-time asset pricing of stocks and derivatives

DOI10.1007/s43069-024-00293-0OpenAlexW4391844230MaRDI QIDQ6130672

Sulaiman Sani, Peter Y. Mhone, Onkabetse A. Daman, Mfundo Mhlongo

Publication date: 3 April 2024

Published in: SN Operations Research Forum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s43069-024-00293-0

zbMATH Keywords

fittingcompound processOU assetsregulated-OU

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Properties of the reflected Ornstein-Uhlenbeck process
• An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
• Shadowing Property of Continuous Maps
• Heavy Traffic Limit Theorems for Queues: A Survey
• Processor-shared buffers with reneging
• Waiting-time asymptotics for the M/G/2 queue with heterogeneous servers
• Stochastic differential equations. An introduction with applications.
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