Now showing items 1-2 of 2
Numerical methods for simulation of stochastic differential equations
(Advances in Difference Equations, 2018-01-15)
In this paper we are concerned with numerical methods to solve stochastic differential equations (SDEs), namely the Euler-Maruyama (EM) and Milstein methods. These methods are based on the truncated Ito-Taylor expansion. ...
Parameter Estimation an a Black Scholes
(Vinča Institute of Nuclear Sciences, Belgrade, 2018-01-07)
In this paper we discuss parameter estimation in black scholes model. A non-parametric estimation method and well known maximum likelihood estimator are considered. Our aim is to estimate the unknown parameters for stochastic ...