Sequential Monte Carlo Filters with Parameters Learning for Commodity Pricing Models

Article

Abstract: In this article, an estimation methodology based on the sequential Monte Carlo algorithm is proposed

Palabras claves:

Commodities Pricess, Heston Model, Parameter Learning Algorithm, Schwartz Single-Factor Model, Stochastic Models

Autores:

Aracelis Hernández, Luis Sánchez, Marcano J., Saba Rafael Infante

Fuentes:

google

scopus