Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices (Q1712624)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices |
scientific article |
Statements
Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices (English)
0 references
22 January 2019
0 references
commodities
0 references
commodity modelling
0 references
stochastic process
0 references
exponential Ornstein-Uhlenbeck process
0 references
maximum log-likelihood method
0 references
parameters estimation
0 references
