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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Hauptverfasser: Mina Mohammadi, Parisa Nabati
Format: Artigo
Sprache:Persa
Veröffentlicht: University of Tehran 2021-11-01
Schriftenreihe:تحقیقات مالی
Schlagworte:
financial markets
levy process
ornstein-uhlenbeck model
stochastic volatility
Online Zugang:https://jfr.ut.ac.ir/article_85050_8d4bf803daf2d905fb5916dc3b3abb8f.pdf
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