Estimating the Ornstein-Uhlenbeck Process Using Least-Squares Regression

Source

This Demonstration simulates the Ornstein-Uhlenbeck process [1] and estimates its parameters using the least-squares regression method [2].

Contributed by: Grzegorz Szoniec (March 2014)
Open content licensed under CC BY-NC-SA

Snapshots

References

[1] G. Levy, Computational Finance Using C and C#, Amsterdam: Academic Press, 2008.

[2] P. Sweeting, Financial Enterprise Risk Management, Cambridge: Cambridge University Press, 2011.


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