On correlated measurement errors in the Schwartz-Smith two-factor model

DOI10.1515/DEMO-2022-0106zbMath1489.62329OpenAlexW4285189879MaRDI QIDQ2148726

Yanyan Li

Publication date: 24 June 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0106

zbMATH Keywords

correlationmaximum likelihood estimationKalman filterfuturespricinglinear state-space modelcommodity\(\mathrm{CO}_2\) emission allowances

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Uses Software

• GitHub

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
• Pricing Options on EU ETS Certificates with a Time-Varying Market Price of Risk Model
• Risk-Neutral Models for Emission Allowance Prices and Option Valuation
• On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model

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