Regulated Ornstein–Uhlenbeck Process in Pandemic-Time Asset Pricing of Stocks and Derivatives
摘要
We present properties of a uniquely designed Ornstein–Uhlenbeck process termed as regularly varying Ornstein–Uhlenbeck (regulated-OU) process and provide methods for transforming its sub-exponential tail in a dominated regime. We also demonstrate how the regulated-OU is suitable for modelling arbitrage-free price of assets and derivatives in pandemic times for market sustainability and high-level operational management.