Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility (Q3636735)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5571410
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility |
scientific article; zbMATH DE number 5571410 |
Statements
Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility (English)
0 references
29 June 2009
0 references
mean reverting model with time-dependent volatility
0 references
Black-Scholes model
0 references
inverse problem of option pricing
0 references
volatility calibration
0 references
maximum likelihood estimation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.7693461775779724
0 references
0.769340991973877
0 references
0.7648695707321167
0 references
0.7644856572151184
0 references
0.7638406157493591
0 references
