Download This PaperThe Trending Ornstein-Uhlenbeck Process: A Technical Note
7 Pages Posted: 1 Nov 2018
Date Written: June 30, 2018
Abstract
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
Mejia, Carlos and Zapata Quimbayo, Carlos, The Trending Ornstein-Uhlenbeck Process: A Technical Note (June 30, 2018). Available at SSRN: https://ssrn.com/abstract=3263789 or http://dx.doi.org/10.2139/ssrn.3263789
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