Additive-multiplicative stochastic models of financial mean-reverting processes.

Abstract

We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property, the dynamics is driven by multiplicative and additive Wiener processes. While the former is modulated by the internal behavior of the system, the latter is purely exogenous. We… (More)

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