The Excel Derivatives Periscope



Extended OU Process is a child type of Stoch Process 1D that represents an extended Ornstein Uhlenbeck stochastic process with constant speed, mean reversion and volatility parameters.
The diffusion equation of the stochastic process x is:
dx = θ(μ-x)dt + σdw
where θ,μ,σ are constant parameters that describe the speed, mean reversion and normal volatility of x