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Modeling Financial Markets Using Combined Ornstein-uhlenbeck Process with Levy Noise
Objective: The main purpose of this paper is to investigate a developed stochastic algorithm for modeling financial markets using the Ornstein-uhlenbeck process combined with Levy noise. Using the closing prices of stock markets, it can be concluded that the stochastic model of the Ornstein-uhlenbec...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Persa |
| Publicat: |
University of Tehran
2021-11-01
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| Col·lecció: | تحقیقات مالی |
| Matèries: | |
| Accés en línia: | https://jfr.ut.ac.ir/article_85050_8d4bf803daf2d905fb5916dc3b3abb8f.pdf |
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