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Regulated Ornstein-Uhlenbeck Process in Pandemic-Time Asset Pricing of Stocks and Derivatives

Article scientifique 2023 Anglais

Résumé

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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Sani, S., Y., P., Mhlongo, M., Daman, O. (2023). Regulated Ornstein-Uhlenbeck Process in Pandemic-Time Asset Pricing of Stocks and Derivatives. https://doi.org/10.21203/rs.3.rs-2462950/v1

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Auteur(s)

Sulaiman Sani Peter Mhone Y. Mfundo Mhlongo Onkabetse A. Daman

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