Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model (Q2879040)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model |
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Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model (English)
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5 September 2014
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multiscale stochastic volatility model
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inference
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particle smoothing
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maximum split data estimate
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expectation-maximization algorithm
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