A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)

Yedidya Rabinovitz

Year of publication:	June-September 2017
Authors:	Rabinovitz, Yedidya
Published in:	International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-22
Subject:	Stochastic differential equations \| mean reversion \| variance reduction \| exchange rates \| empirical comparison \| Mean Reversion \| Mean reversion \| Wechselkurs \| Exchange rate \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Schätzung \| Estimation \| Analysis \| Mathematical analysis \| Kaufkraftparität \| Purchasing power parity \| Optionspreistheorie \| Option pricing theory

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