On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter
Crossref DOI link: https://doi.org/10.1007/s10479-018-2770-x
Published Online: 2018-01-31
Published Print: 2019-11
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Ewald, Christian-Oliver
Zhang, Aihua
Zong, Zhe
Funding for this research was provided by:
University of Glasgow
Text and Data Mining valid from 2018-01-31
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First Online: 31 January 2018