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Archive for June 8th, 2011

Exponential Ornstein-Uhlenbeck process

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Let’s consider parameter estimation for the following modification of Ornstein-Uhlenbeck process:
dS_t = \theta(\mu - S_t) dt + \sigma dW_t
P_t= \exp S_t
This model is simplification of Schwarz Model 1, one of Short-rate models
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Written by fxpaul

June 8, 2011 at 08:28

Posted in trading math