Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices

DOI10.1186/S13662-018-1718-4zbMath1446.91047OpenAlexW2886011032WikidataQ115518821 ScholiaQ115518821MaRDI QIDQ1712624

Carlos Armando Mejía Vega

Publication date: 22 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1718-4

zbMATH Keywords

stochastic processcommoditiesparameters estimationmaximum log-likelihood methodcommodity modellingexponential Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Pricing renewable identification numbers under uncertainty ⋮ Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model ⋮ Inference in generalized exponential O-U processes

Cites Work

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• Introductory Statistical Inference with the Likelihood Function
• Decomposition of Prediction Error
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• Financial pricing models in continuous time and Kalman filtering

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