Parameter estimation in a generalized bivariate Ornstein-Uhlenbeck model
In this paper, we consider the inverse problem of calibrating a generalization of the bivariate Ornstein-Uhlenbeck model introduced by Lo and Wang. Even though the generalized Black-Scholes option pricing formula still holds, option prices change in comparison to the classical Black-Scholes model. T...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Others |
| Language: | English |
| Published: |
Universitätsbibliothek Chemnitz
2005
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501307 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501307 http://www.qucosa.de/fileadmin/data/qucosa/documents/5052/data/t_04_kr_ri_ho.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/5052/20050130.txt |