Additive-multiplicative stochastic models of financial mean-reverting processes
نویسندگان
چکیده
منابع مشابه
Additive-multiplicative stochastic models of financial mean-reverting processes.
We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive Wiener processes. While the former is modulated by the internal behavior of the system, the latter is purely exogenous. We focus on the stochastic dynamics of vol...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2005
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.72.026106