Equation: Simulating an Ornstein-Uhlenbeck Process

Simulating an Ornstein-Uhlenbeck Process

created by:

Thijs van den Berg (http://www.sitmo.com)

This equation is used to generate scenarios that follow the Ornstein-Uhlenbeck process. This equation is exact.

	The value of the asset at time t
	The present value of the asset
	Mean reversion level
	Mean reversion rate
	Standard normal distributed random number

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