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7 votes

Preferred Option pricing model

General Comment: In industry, you're effectively an engineer/mechanic. You choose the best tool for the job, and there is no 1 tool that works with everything because they all have different benefits ...
THATS MY QUANT MY QUANTITATIVE's user avatar
3 votes

Geometric brownian motion vs. Ornstein Uhlenbeck

A more abstract yet simple way of looking at this may help. Consider a generic diffusion $dY = (a_t - b_t Y_t) dt + \sigma_t dW_t$, where $Y_t$ is either the modelled quantity itself or $Y_t = \log{...
achirikhin's user avatar

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