Open AccessThe low volatility fluctuations regime of the exponential Ornstein – Uhlenbeck model
Author(s) -
Giacomo Bormetti,
Valentina Cazzola,
Danilo Delpini,
G. Montagna,
O. Nicrosini
Publication year - 2010
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/221/1/012014
Subject(s) - ornstein–uhlenbeck process , exponential function , cumulant , statistical physics , mathematics , stochastic volatility , volatility (finance) , probability density function , monte carlo method , brownian motion , heston model , stochastic process , mathematical analysis , econometrics , sabr volatility model , physics , statistics