Results 1 to 10 of about 69 (46)
Maximum Likelihood Estimation for the Fractional Vasicek Model [PDF]
Econometrics, 2020 This paper estimates the drift parameters in the fractional Vasicek model from a continuous record of observations via maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive case ...
Katsuto Tanaka, Weilin Xiao, Jun Yu
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Parametric Estimation in the Vasicek-Type Model Driven by Sub-Fractional Brownian Motion [PDF]
Algorithms, 2018 In the paper, we tackle the least squares estimators of the Vasicek-type model driven by sub-fractional Brownian motion: d X t = ( μ + θ X t ) d t + d S t H , t ≥ 0 with X 0 = 0 , where S H is a sub-fractional Brownian ...
Shengfeng Li, Yi Dong
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AlgorithmsIn this paper, we recover the European option volatility function σ(t) of the underlying asset and the fractional order α of the time fractional derivatives under the time fractional Vasicek model.
Yunkang Du, Zuoliang Xu
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Fractal and FractionalTempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving average representation of fractional Brownian motion by introducing exponential tempering.
Yuliya Mishura, Kostiantyn Ralchenko
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Statistical inference for nonergodic weighted fractional Vasicek models [PDF]
Modern Stochastics: Theory and Applications, 2021 A problem of drift parameter estimation is studied for a nonergodic weighted fractional Vasicek model defined as $d{X_{t}}=\theta (\mu +{X_{t}})dt+d{B_{t}^{a,b}}$, $t\ge 0$, with unknown parameters $\theta >0$, $\mu \in \mathbb{R}$ and $\alpha :=\theta ...
Khalifa Es-Sebaiy +2 more
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A New Stabled Relaxation Method for Pricing European Options Under the Time-Fractional Vasicek Model. [PDF]
Comput Econ, 2023 Our objective is to solve the time-fractional Vasicek model for European options with a new stabled relaxation method. This new approach is based on the splitting method. Some numerical tests are presented to show the stability and the reliability of our approach with the theory of options.
Kharrat M, Arfaoui H.
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Maximum Likelihood Estimation in the Fractional Vasicek Model
Lithuanian Journal of Statistics, 2017 We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1).
Stanislav Lohvinenko +1 more
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Maximum likelihood estimation in the non-ergodic fractional Vasicek model [PDF]
Modern Stochastics: Theory and Applications, 2019 We investigate the fractional Vasicek model described by the stochastic differential equation $d{X_{t}}=(\alpha -\beta {X_{t}})\hspace{0.1667em}dt+\gamma \hspace{0.1667em}d{B_{t}^{H}}$, ${X_{0}}={x_{0}}$, driven by the fractional Brownian motion ${B^{H}}$
Stanislav Lohvinenko +1 more
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Maximum likelihood estimation for sub-fractional Vasicek model
Random Operators and Stochastic Equations, 2021 Abstract We investigate the asymptotic properties of maximum likelihood estimators of the drift parameters for the fractional Vasicek model driven by a sub-fractional Brownian motion.
B L S Prakasa Rao
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Maximum Likelihood Estimation for Mixed Fractional Vasicek Processes
Fractal and Fractional, 2022 In this paper, we consider the problem of estimating the drift parameters in the mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model.
Chun-Hao Cai +3 more
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