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Calibrating the Schwartz type 1 model

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created by: Thijs van den Berg (http://www.sitmo.com)
Calibrating the Schwartz type 1 model equation

The Schwartz type 1 model is a log price Ornstein-Uhlenbeck stochastic process. The calibration can be done through a regression of the logprices as described in the above equation.

List of symbols

Mean reversion rate
Mean
volatility
Time step between observations

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