Parameter Estimation an a Black Scholes
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Tarih
2018-01-07
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Vinča Institute of Nuclear Sciences, Belgrade
Erişim Hakkı
info:eu-repo/semantics/openAccess
Attribution-NonCommercial-NoDerivs 3.0 United States
Attribution-NonCommercial-NoDerivs 3.0 United States
Özet
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.
Açıklama
Anahtar Kelimeler
Research Subject Categories::TECHNOLOGY
Kaynak
Thermal Science : International Scientific Journal
WoS Q Değeri
Q3
Scopus Q Değeri
Q3
Cilt
22
Sayı
1