A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Year of publication: |
June-September 2017
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Authors: | Rabinovitz, Yedidya |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-22
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Subject: | Stochastic differential equations | mean reversion | variance reduction | exchange rates | empirical comparison | Wechselkurs | Exchange rate | Stochastischer Prozess | Stochastic process | Mean Reversion | Mean reversion | Schätzung | Estimation | Analysis | Mathematical analysis | Schätztheorie | Estimation theory | Kaufkraftparität | Purchasing power parity | Optionspreistheorie | Option pricing theory |
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