"On the calibration of the Schwartz two-factor model to WTI crude oil ..."

Christian-Oliver Ewald, Aihua Zhang, Zhe Zong (2019)

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DOI: 10.1007/S10479-018-2770-X

access: open

type: Journal Article

metadata version: 2022-12-07

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Christian-Oliver Ewald, Aihua Zhang, Zhe Zong:
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter. Ann. Oper. Res. 282(1-2): 119-130 (2019)

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