Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
Abstract The purpose of this paper is to present a methodological procedure to estimate the parameters of the exponential Ornstein–Uhlenbeck process, also known as the Schwartz (J. Finance 52(3):923–973, 1997) one-factor model, in situations where the spot price of the commodity is observable. The p...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2018-08-01
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| Series: | Advances in Difference Equations |
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| Online Access: | http://link.springer.com/article/10.1186/s13662-018-1718-4 |