Calibrating the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model (Q2879040)
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scientific article; zbMATH DE number 6340780
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| English | Calibrating the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model |
scientific article; zbMATH DE number 6340780 |
Statements
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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0.7935591340065002
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0.7619500160217285
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0.7422817945480347
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0.7343255877494812
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0.7267115116119385
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