On the calibration of the 3/2 model
type: Item
instance of: scholarly article
title: On the calibration of the 3/2 model
zbMATH Open document ID: 1431.91394
author: Hilmar Haukur Gudmundsson
author: David Vyncke
published in: European Journal of Operational Research
publication date: 2019-03-27T00:00:00Z
full work available at URL: https://biblio.ugent.be/publication/8629945
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7043190
zbMATH Keywords: pricing
zbMATH Keywords: model calibration
zbMATH Keywords: 3/2 model
zbMATH Keywords: MCMC estimation
zbMATH Keywords: optimization
MaRDI profile type: Publication
OpenAlex ID: W2763836425
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DOI: 10.1016/J.EJOR.2019.01.074
description: scientific article; zbMATH DE number 7043190