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DOI:10.1111/j.0960-1627.2004.00206.x - Corpus ID: 122702127
@article{Norberg2004VASIEKBT, title={VASI{\vC}EK BEYOND THE NORMAL}, author={Ragnar Norberg}, journal={Mathematical Finance}, year={2004}, volume={14}, url={https://api.semanticscholar.org/CorpusID:122702127}}- R. Norberg
- Published 15 September 2004
- Mathematics, Economics
- Mathematical Finance
A general Ornstein‐Uhlenbeck (OU) process is obtained upon replacing the Brownian motion appearing in the defining stochastic differential equation with a general Lévy process. Certain properties of the Brownian ancestor are distribution‐free and carry over to the general OU process. Explicit expressions are obtainable for expected values of a number of functionals of interest also in the general case. Special attention is paid here to gamma‐ and Poisson‐driven OU processes. The Brownian…
25 Citations
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25 Citations
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ABSTRACT We give an explicit representation for the transition law of a tempered stable Ornstein–Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of…
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