Regulated Ornstein–Uhlenbeck Process in Pandemic-Time Asset Pricing of Stocks and Derivatives

Sulaiman Sani (), Peter Y. Mhone (), Mfundo Mhlongo () and Onkabetse A. Daman ()
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Sulaiman Sani: Kwaluseni Campus
Peter Y. Mhone: Kwaluseni Campus
Mfundo Mhlongo: Kwaluseni Campus
Onkabetse A. Daman: University of Botswana

SN Operations Research Forum, 2024, vol. 5, issue 1, 1-11

Abstract: Abstract 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.

Keywords: Regulated-OU; OU assets; Compound process; Fitting (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s43069-024-00293-0

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