Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility (Q3636735)
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scientific article; zbMATH DE number 5571410
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| English | Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility |
scientific article; zbMATH DE number 5571410 |
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Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility (English)
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29 June 2009
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mean reverting model with time-dependent volatility
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Black-Scholes model
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inverse problem of option pricing
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volatility calibration
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maximum likelihood estimation
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0.7693461775779724
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0.769340991973877
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0.7648695707321167
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0.7644856572151184
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0.7638406157493591
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