On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter (Q2288928)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter |
scientific article; zbMATH DE number 7153552
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter |
scientific article; zbMATH DE number 7153552 |
Statements
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter (English)
0 references
20 January 2020
0 references
commodity derivatives
0 references
state-space model
0 references
extended Kalman filter
0 references
0.7761249542236328
0 references
0.7578454613685608
0 references
0.7401514053344727
0 references
0.7384384870529175
0 references
