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OUP
(redirected from Ornstein-Uhlenbeck process)

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AcronymDefinition
OUPOxford University Press
OUPOffice of University Partnerships (HUD)
OUPOfficial Unionist Party
OUPOrfeão Universitário do Porto (Portugal: Choir of the University of Porto)
OUPOrnstein-Uhlenbeck Process
OUPOnline Urban Planning (Redondo Beach, California)
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Proposition (Value of the Expected Flow of Profits with Mean-Reverting Price) (a) The Case of an Ornstein-Uhlenbeck Process (OU) Introduce the function [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII] Define the functions and [f.
Firm's value under investment irreversibility, stochastic demand and ... by Bouasker, Olfa; Prigent, Jean-Luc / International Journal of Business
We have first analyzed each method in a Black-Scholes world and in a stochastic volatility world in which the volatility is modelled by an Ornstein-Uhlenbeck process.
Portfolio insurance strategies: a comparison of standard methods when ... by Bertrand, Philippe; Prigent, Jean-luc / International Journal of Business
They derive closed form expressions for the granularity of geometric Brownian motion and of an Ornstein-Uhlenbeck process for call and put options, and perform Monte Carlo simulations that illustrate the practical relevance of granularity.
Asset pricing by NBER Reporter
 
 
 
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