Parameter Estimation an a Black Scholes

Bayram, Mustafa; Orucova Büyüköz, Gülşen; Partal, Tuğçem

dc.contributor.author	Bayram, Mustafa
dc.contributor.author	Orucova Büyüköz, Gülşen
dc.contributor.author	Partal, Tuğçem
dc.date.accessioned	2019-01-07T07:53:40Z
dc.date.available	2019-01-07T07:53:40Z
dc.date.issued	2018-01-07
dc.identifier.issn	2334-7163
dc.identifier.issn	0354-9836
dc.identifier.uri	http://hdl.handle.net/11363/806
dc.description.abstract	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 differential equation with discrete time observation data. In simulation study we compare the non-parametric method with maximum likelihood method using stochastic numerical scheme named with Euler Maruyama.	en_US
dc.language.iso	eng	en_US
dc.publisher	Vinča Institute of Nuclear Sciences, Belgrade	en_US
dc.relation.isversionof	https://doi.org/10.2298/TSCI170915277B	en_US
dc.rights	info:eu-repo/semantics/openAccess	en_US
dc.rights	Attribution-NonCommercial-NoDerivs 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	Research Subject Categories::TECHNOLOGY	en_US
dc.title	Parameter Estimation an a Black Scholes	en_US
dc.type	article	en_US
dc.relation.ispartof	Thermal Science : International Scientific Journal	en_US
dc.department	İstanbul Gelişim Üniversitesi	en_US
dc.identifier.volume	22	en_US
dc.identifier.issue	1	en_US
dc.identifier.startpage	117	en_US
dc.identifier.endpage	122	en_US
dc.relation.publicationcategory	Kategori Yok	en_US