What are the formulae for d1 & d2 using a Laplace distribution?
One of the stylized facts of financial time series seems to be a fundamental asymmetry between smooth upward movements over longer periods of time followed by abrupt declines over relatively shorter ...
I am uncertain as to how to calculate the mean and variance of the following Geometric Ornstein-Uhlenbeck process. $$d X(t) = a ( L - X_t ) dt + V X_t dW_t$$ Is anyone able to calculate the mean ...
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula: ...