On the calibration of the 3/2 model

DOI10.1016/j.ejor.2019.01.074zbMath1431.91394OpenAlexW2763836425MaRDI QIDQ1734372

David Vyncke, Hilmar Gudmundsson

Publication date: 27 March 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://biblio.ugent.be/publication/8629945

zbMATH Keywords

optimizationmodel calibrationpricingMCMC estimation3/2 model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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