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Results tagged with calibration
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user 15537
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How to estimate parameters of geometric brownian motion with time-varying mean?
Thank you guys. Sorry for the late reply, I just solved it in matlab using maximum likelihood estimation. Turns out that all we need to do is to specify a state space model, then estimate the coeffici …
- 31
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How to estimate parameters of geometric brownian motion with time-varying mean?
Does anyone know how to estimate $A$, $\sigma_1$,$\sigma_2$ from the following system?
$$dx = \mu_t x dt + \sigma_1 x dB_x$$
$$d\mu = A(\bar\mu - \mu) dt + \sigma_2 dB_\mu$$
Variation in $x$ could …
- 31