Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices (Q1712624)
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scientific article; zbMATH DE number 7005005
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices |
scientific article; zbMATH DE number 7005005 |
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Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices (English)
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22 January 2019
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commodities
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commodity modelling
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stochastic process
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exponential Ornstein-Uhlenbeck process
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maximum log-likelihood method
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parameters estimation
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