Parameter Estimation an a Black Scholes

Yükleniyor...
Küçük Resim

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

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

Künye