Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility

DOI10.1080/00207160802676638zbMath1163.91403OpenAlexW2150281747MaRDI QIDQ3636735

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160802676638

zbMATH Keywords

maximum likelihood estimationBlack-Scholes modelvolatility calibrationinverse problem of option pricingmean reverting model with time-dependent volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Numerical solutions to equations with nonlinear operators (65J15)

Cites Work

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