Parameter Estimation of the Extended Vasiček Model
In this paper, an estimate of the drift and diffusion parameters of the extended Vasiček model is presented. The estimate is based on the method of maximum likelihood. We derive a closed-form expansion for the transition (probability) density of the extended Vasiček process and use the expansion to...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Walailak University
2011-11-01
|
| Series: | Walailak Journal of Science and Technology |
| Subjects: | |
| Online Access: | http://wjst.wu.ac.th/index.php/wjst/article/view/54 |