Published January 25, 2023 | Version v1
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Parameter Estimation of Fee Process

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The resulting parameters, although some are poorly determined, indicate that the process reverts very quickly to a stationary process as one would expect. In this case, considering values of the reversion speed within a 95%-ile confidence band produces unrealistic long-term volatilities. We provide a more consistent estimate of parameter uncertainties based on an analysis of the fees as a stationary process.

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https://ia601404.us.archive.org/17/items/bermudan-swaption/BermudanSwaption.pdf

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FeeProcessParameterEstimation.pdf

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