c****2
发帖数: 31 | 1 For your info. Vascicek model has exact solution as well. |
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c**********e
发帖数: 2007 | 2 Found they have the same SDE. |
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m******2
发帖数: 564 | 3 Not exactly
Ornstein-Uhlenbeck has an exact solution |
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c**********e
发帖数: 2007 | 4 Agree. As the SDE is the same, so is the solution.
Maybe the name is different only because it is used in different scenarios? |
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T*******t
发帖数: 9274 | 5 OU可负，V非负...
啥时候这俩SDE一样了...
? |
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w**********y
发帖数: 1691 | 6 楼上说的是CIR吧?
OU是一个非常宽泛的model.
经典论文是2001年Borndoff的Non-Gaussian Driven OU..可以加stochastic
volatility和levy
所以V应该算OU的一种特例吧. |
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c****2
发帖数: 31 | 7 Even SDE forms are the same, the solution may not be the same. The solution
depends on boundary conditions as well. If the boundary conditions are
different, the solutions are likely to be different.
Also, Vasciek model does have closed-form solution and CIR model does not
have closed form solution.
Hope this clarifies things a little bit. |
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