股价波动的指数O-U过程模型

本文针对股价波动的几何布朗运动模型对收益率假设的缺陷,对该模型进行了改进,并建立了股价波动的指数OkU过程模型,得到了比传统模型更好的结果.  

股票价格服从指数O-U过程的再装期权定价

期权及其定价理论是目前金融管理,金融工程研究的前沿与热点问题.本文在标的资产的价格服从指数O-U过和模型假设下,运用G irsanov定理获得了该过程的唯一等价鞅测度.用期权定价的鞅方法,得出了再装期权的定价公式.  

超Ornstein—Uhlenbeck过程的一个渐近行为

本文考虑底过程为暂留的超Ornstein-Uhlenbeck过程的击中概率问题，通过研究一类奇异边值问题的解，给出过程中概率的一个行渐行为。  

催化介质中的超Ornstein-Uhlenbeck 过程

本文构造了催化介质中的Ornstein-Uhlenbeck过程，并在有限测试情形，证明了其persistence性质（d=1)。  

MEASURE-VALUED IMMIGRATION DIFFUSIONS AND GENERALIZED ORNSTEIN-UHLENBECK DIFFUSIONS

1.IntroductionLetAbeaboundedlinearoperatoronS(R')whichadmitsanon-positivedefiniteself-adjoillteXtensiononL'(R').AssumethatAgeneratesastronglycontinuoussellilgroupicofboundedlinearoperatorsonS(R').LetBbeaboundedlinearoperatoron).aamtheresultsof[l],wek...  

Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process

We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansions for early-exercise options. We focus on variants of Schwartz? model based on a mean reverting Ornstein-Uhlenbeck process, which is commonly used for modeling commodity prices. This process however does not possess favorable properties for the option pricing method of interest. We therefore propose an approximation of its characteristic function, so that the Fast Fourier Transform can be applied for highest efficiency.  

Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type

In this article we propose a maximum likelihood methodology to estimate the parameters of a one-dimensional stationary process of Ornstein-Uhlenbeck type that is constructed via a self-decomposable distribution D. Our approach is based on the inversion of the characteristic function and the use of the classical or fractional discrete fast Fourier transform. The results are illustrated throughout an extensive simulation study. This includes the cases where D belongs to the gamma, tempered stable and normal inverse Gaussian family of distributions.   

Ornstein-Uhlenbeck模型下DC养老金计划的最优投资策略

本文研究了Ornstein-Uhlenbeck模型下确定缴费型养老金计划(简称DC计划)的最优投资策略,其中以最大化DC计划参与者终端财富(退休时其账户金额)的CRRA效用为目标.假定投资者可投资于无风险资产和一种风险资产,风险资产的瞬时收益率由Ornstein-Uhlenbeck过程驱动,该过程能反映市场所处的状态.利用随机控制理论,给出了相应的HJB方程与验证定理；并通过求解相应的HJB方程,得到了最优投资策略和最优值函数的解析式.最后分析了瞬时收益率对最优投资策略的影响,发现当市场向良性状态发展时,投资在风险资产上的财富比例呈上升趋势；当初始财富足够大且市场状态不变时,投资在风险资产上的财富比例几乎不受时间的影响.  

A Diffusion Approximation for a GI/GI/1 Queue with Balking or Reneging

Consider a single-server queue with a renewal arrival process and generally distributed processing times in which each customer independently reneges if service has not begun within a generally distributed amount of time. We establish that both the workload and queue-length processes in this system can be approximated by a regulated Ornstein-Uhlenbeck (ROU) process when the arrival rate is close to the processing rate and reneging times are large. We further show that a ROU process also approximates the queue-length process, under the same parameter assumptions, in a balking model. Our balking model assumes the queue-length is observable to arriving customers, and that each customer balks if his or her conditional expected waiting time is too large.  

市场利率波动对期权价值的影响

本文在股价服从指数 O- U过程模型假设下 ,考虑到市场利率波动与股价波动的相关性 ,着重分析了市场利率的波动对期权价值的影响 ,并将所得结果与 Black- Scholes定价模型进行了比较