Ornstein-Uhlenbeck process

[¦ȯrn‚stīn ′ü·lən‚bek ‚prä‚ses]

(statistics)

A stochastic process used as a theoretical model for Brownian motion.

References in periodicals archive ?

yielding the Ornstein-Uhlenbeck process, where m, q, and v are non-negative constants interpretable as the long-range mean to which [r.

The Ornstein-Uhlenbeck process is commonly used as a model of the nominal interest rates.

Valuation of the minimum guaranteed return embedded in life insurance products

We particularize the case of a stochastic volatility that evolves according to an Ornstein-Uhlenbeck process, as introduced in Scott (1987) and Stein and Stein (1991):

Portfolio insurance strategies: a comparison of standard methods when the volatility of the stock is stochastic

They derive closed form expressions for the granularity of geometric Brownian motion and of an Ornstein-Uhlenbeck process for call and put options, and perform Monte Carlo simulations that illustrate the practical relevance of granularity.