Gaussian Estimation of One-Factor Mean Reversion Processes

We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the...

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Bibliographic Details
Main Authors: Freddy H. Marín Sánchez, J. Sebastian Palacio
Format: Article
Language:English
Published: Wiley 2013-01-01
Series:Journal of Probability and Statistics
Online Access:http://dx.doi.org/10.1155/2013/239384
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