Calibrating fractional Vasicek model (Q6169355)
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scientific article; zbMATH DE number 7710545
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibrating fractional Vasicek model |
scientific article; zbMATH DE number 7710545 |
Statements
Calibrating fractional Vasicek model (English)
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11 July 2023
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rough fractional stochastic volatility
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fractional Vasicek model
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parameter estimation
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Hurst index
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0.8916991
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0.8700804
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0.85255694
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0.84800494
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0.8470335
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0.84495693
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0.84495693
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