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Toplam kayıt 2, listelenen: 1-2
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 ...
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. ...