Theory and Modern Applications
From: Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
Miu hat
Theta
Sigma
Daily
7.22
0.0002
1.23%
Annualized
7.67
0.0420
19.42%
Annual
7.49
0.0497
19.06%