We have first analyzed each method in a Black-Scholes world and in a stochastic volatility world in which the volatility is modelled by an Ornstein-Uhlenbeck process.
What does OUP stand for?
OUP stands for Ornstein-Uhlenbeck Process
This definition appears rarely and is found in the following Acronym Finder categories:
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- Oxford University Orienteering Club (UK)
- Ontario Used Oil Management Association (waste disposal/recycling)
- Ohio University Osteopathic Medical Center (Madison, OH)
- Oxford University Officers Training Corps
- Office of University Partnerships (HUD)
- Official Unionist Party
- Online Urban Planning (Redondo Beach, California)
- Open Unified Process (computing)
- Operation Unified Protector (NATO)
- Orfeão Universitário do Porto (Portugal: Choir of the University of Porto)
- Oxford University Press
- Ohio Undergraduate Psychology Conference
- Open University Production Centre (British Broadcasting Corporation; UK)
- Ohio University Police Department
- Operating Unit Partnership Forum (South Africa)
- Ontario Universities Program in Field Biology
- Oxford University Press Journals
- Operable Unit Project Leader
- Oxford University Phonetics Laboratory (UK)
- Ontario University Purchasing Management Association (Canada)
Samples in periodicals archive:
The Ornstein-Uhlenbeck process is commonly used as a model of the nominal interest rates.
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.