Maximum likelihood estimation of the Hull-White model
Year of publication: |
2023
|
---|---|
Authors: | Kladívko, Kamil ; Rusý, Tomáš |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 70.2023, p. 227-247
|
Subject: | Derivatives pricing on illiquid markets | Hull-White model | Joint measure modelling | Maximum likelihood | Risk and portfolio management | Theorie | Theory | Portfolio-Management | Portfolio selection | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | CAPM | Derivat | Derivative | Volatilität | Volatility |
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