An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
From MaRDI portal
Publication:1631125
DOI10.1186/S13662-017-1234-YzbMath1422.91281OpenAlexW2673332012WikidataQ59515777 ScholiaQ59515777MaRDI QIDQ1631125
Nattakorn Phewchean, Nattiya Chaiyapo
Publication date: 5 December 2018
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-017-1234-y
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (4)
Regulated Ornstein-Uhlenbeck process in pandemic-time asset pricing of stocks and derivatives ⋮ Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model ⋮ Variable bandwidth local maximum likelihood type estimation for diffusion processes ⋮ Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
Cites Work
This page was built for publication: An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
