The Trending Ornstein-Uhlenbeck Process: A Technical Note

7 Pages Posted: 1 Nov 2018

See all articles by Carlos Mejia

Carlos Mejia

Externado University of Colombia

Carlos Zapata Quimbayo

Universidad Externado de Colombia

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

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

Carlos Mejia

Externado University of Colombia ( email )

Calle 12 # 1-17 este
Calle 12 0 83
Bogota D.C, Cundinamarca 3456
Colombia

Carlos Zapata Quimbayo (Contact Author)

Universidad Externado de Colombia ( email )

Calle 12 No. 1-17 Este
Bogotá D.C., DC
Colombia
3537000 (Phone)

HOME PAGE: http://www.uexternado.edu.co/finanzas_gob/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
133
Abstract Views
502
rank
289,321
PlumX Metrics