The Trending Ornstein-Uhlenbeck Process: A Technical Note
7 Pages Posted: 1 Nov 2018
Date Written: June 30, 2018
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.
Keywords: Trending Ornstein-Uhlenbeck Process, Stochastic Process, Monte Carlo Simulation
JEL Classification: C14, C63
Suggested Citation: Suggested Citation