Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model (Q2879040)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model |
scientific article; zbMATH DE number 6340780
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model |
scientific article; zbMATH DE number 6340780 |
Statements
Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model (English)
0 references
5 September 2014
0 references
multiscale stochastic volatility model
0 references
inference
0 references
particle smoothing
0 references
maximum split data estimate
0 references
expectation-maximization algorithm
0 references
0 references
0 references
