pymle

MaRDI QIDQ1349700swMATHFDO

Official website https://arxiv.org/abs/2108.12649

Source code repository https://github.com/jkirkby3/pymle

Described by source

• Maximum likelihood estimation of diffusions by continuous time Markov chain

Cited in

(3)

• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
• Bridge.jl

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