publication . Article . 2012

Ornstein-Uhlenbeck Processes Simulation

Kuzmina, A.;
Open Access English
  • Published: 01 Jan 2012
  • Publisher: Минск: БГУ
  • Country: Belarus
Abstract
In this paper we give a brief introduction to Ornstein-Uhlenbeck processes and their simulation methods. Ornstein-Uhlenbeck processes were introduced by Barndorff-Nielsen and Shephard (2001) as a model to describe volatility in finance. Ornstein-Uhlenbeck processes are based on Levy processes. Levy processes simulation may be found in [1, 2].
Subjects
free text keywords: :ОБЩЕСТВЕННЫЕ НАУКИ::Информатика [ЭБ БГУ]
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