{"title":"The Trending Ornstein-Uhlenbeck Process: A Technical Note","authors":"Carlos Mejía, Carlos Andres Zapata Quimbayo","doi":"10.2139/ssrn.3263789","DOIUrl":null,"url":null,"abstract":"The aim of this paper is to present the elemental equations we can use to calibrate (through the maximum log-likelihood method) and to simulate under a risk-neutral framework (through the Monte Carlo simulation method) the stochastic process known as the trending Ornstein-Uhlenbeck process.","PeriodicalId":299310,"journal":{"name":"Econometrics: Mathematical Methods & Programming eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometrics: Mathematical Methods & Programming eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3263789","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
The aim of this paper is to present the elemental equations we can use to calibrate (through the maximum log-likelihood method) and to simulate under a risk-neutral framework (through the Monte Carlo simulation method) the stochastic process known as the trending Ornstein-Uhlenbeck process.
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