On the calibration of the 3/2 model
Year of publication: |
2019
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Authors: | Gudmundsson, Hilmar ; Vyncke, David |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 276.2019, 3 (1.8.), p. 1178-1192
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Subject: | Pricing | Model calibration | 3/2 model | MCMC estimation | Optimization | Modellierung | Scientific modelling | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory |
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