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Regulated Ornstein-Uhlenbeck Process in Pandemic-Time Asset Pricing of Stocks and Derivatives
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Abstract
We present the properties of a regularly varying Ornstein-Uhlenbeck (regulated-OU) process and design the methodology for transforming its sub-exponential tail in the dominated regime. We demonstrate how the regulated-OU models arbitrage-free price of financial assets in non-normal trading times like trading an asset during a pandemic.
Title: Regulated Ornstein-Uhlenbeck Process in Pandemic-Time Asset Pricing of Stocks and Derivatives
Description:
Abstract
We present the properties of a regularly varying Ornstein-Uhlenbeck (regulated-OU) process and design the methodology for transforming its sub-exponential tail in the dominated regime.
We demonstrate how the regulated-OU models arbitrage-free price of financial assets in non-normal trading times like trading an asset during a pandemic.
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