Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
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References listed on IDEAS
- Roger Lord & Christian Kahl, 2006. "Why the Rotation Count Algorithm works," Tinbergen Institute Discussion Papers 06-065/2, Tinbergen Institute.
- E. Cisana & L. Fermi & G. Montagna & O. Nicrosini, 2007. "A Comparative Study of Stochastic Volatility Models," Papers 0709.0810, arXiv.org.
- Josep Perello & Ronnie Sircar & Jaume Masoliver, 2008. "Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model," Papers 0804.2589, arXiv.org, revised May 2008.
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