Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility

B. Hofmann, R. Krämer, M. Richter. Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility. Int. J. Comput. Math., 86(6):992-1008, 2009. [doi]

Authors

B. Hofmann

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R. Krämer

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M. Richter

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