On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter (Q2288928)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter |
scientific article |
Statements
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter (English)
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20 January 2020
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commodity derivatives
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state-space model
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extended Kalman filter
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