On a two-phase minmax method for parameter estimation of the Cox, Ingersoll, and Ross interest rate model

MaRDI QIDQ2493330zbMATH OpenFDO

Authors Daniel Ševčovič, A. Urbánová Csajková

Publication date 12 June 2006

Published in CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59) Applications of mathematical programming (90C90) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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