The low volatility fluctuations regime of the exponential Ornstein - Uhlenbeck model

Journal of Physics: Conference Series

Volumn 221, Issue , 2010, Pages

  Bormetti, G ^a,b   Cazzola, V ^a,b,c   Delpini, D ^b,c   Montagna, G ^a,b,c   Nicrosini, O ^a,b  

^a SCUOLA UNIVERSITARIA SUPERIORE IUSS PAVIA   (Italy)

^b INFN SEZIONE DI PAVIA   (Italy)

^c UNIVERSITY OF PAVIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

BROWNIAN MOVEMENT; INTELLIGENT SYSTEMS; MONTE CARLO METHODS; PROBABILITY DENSITY FUNCTION;

ANALYTICAL CHARACTERIZATION; ANALYTICAL PREDICTIONS; CHARACTERISTIC FUNCTIONS; CLOSED-FORM FORMULAE; FINANCIAL RETURNS; GEOMETRIC BROWNIAN MOTION; ORNSTEIN-UHLENBECK; PROBABILITY DENSITIES;

EXPONENTIAL FUNCTIONS;

EID: 78651095000     PISSN: 17426588     EISSN: 17426596     Source Type: Conference Proceeding    
DOI: 10.1088/1742-6596/221/1/012014     Document Type: Conference Paper

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