Calibrating fractional Vasicek model

DOI10.1080/03610926.2021.1994609OpenAlexW3208396667MaRDI QIDQ6169355

Yuecai Han, Unnamed Author

Publication date: 11 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1994609

zbMATH Keywords

parameter estimationHurst indexfractional Vasicek modelrough fractional stochastic volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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