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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Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Wiley
2013-01-01
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Series: | Journal of Probability and Statistics |
Online Access: | http://dx.doi.org/10.1155/2013/239384 |
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