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

2023 · doi:10.21203/rs.3.rs-2462950/v1
preprint OA: closed CC-BY-4.0
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Abstract

We present the properties of a regularly varying Ornstein-Uhlenbeck (regulated-OU) process and design the methodology for transforming its sub-exponential tail in the dominated regime. We demonstrate how the regulated-OU models arbitrage-free price of financial assets in non-normal trading times like trading an asset during a pandemic.

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License: CC-BY-4.0