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Filtering by: Creator Hernández Cardona, Felipe Remove constraint Creator: Hernández Cardona, Felipe Keyword Volatilidad Ornstein-Uhlenbeck Remove constraint Keyword: Volatilidad Ornstein-Uhlenbeck
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  1. Algunas propiedades de la densidad del precio de un activo con volatilidad Ornstein-Uhlenbeck

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    Description: Assuming that the volatility of a financial asset is stochastic, virtually no opportunity to display an explicit representation of the distribution of the asset price; to adress the situation, it is necessary to approximate by numerical simulation. However, when the volatility obeys to an process of Ornstein–Uhlenbeck, the distribution of...
    Subject: Matemáticas financieras, Matemáticas aplicadas, Business mathematics, Procesos estocásticos, Proceso de Ornstein-Uhlenbeck, Stochastic processes, and Applied mathematics
    Creator: Hernández Cardona, Felipe
    Contributor: Uribe Bravo, Gerónimo Francisco, García Corte, Julio César, and Ibarra Valdéz, Carlos
    Publisher: Universidad Autónoma Metropolitana
    Posgrado: Maestria en Ciencias Matematicas Aplicadas e Industriales
    Language: spa
    Año de publicación: 2016
    Rights Statement*: Acceso Abierto
    License: Atribucion-NoComercial 4.0 Internacional (CC BY-NC 4.0)
    Tipo de Recurso: info:eu-repo/semantics/masterThesis
    Identifier: https://doi.org/10.24275/uami.gt54kn14d