Parameter Estimation an a Black Scholes
| 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.department | İstanbul Gelişim Üniversitesi | en_US |
| 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.identifier.doi | 10.2298/TSCI170915277B | en_US |
| dc.identifier.endpage | 122 | en_US |
| dc.identifier.issn | 2334-7163 | |
| dc.identifier.issn | 0354-9836 | |
| dc.identifier.issue | 1 | en_US |
| dc.identifier.scopus | 2-s2.0-85046840421 | en_US |
| dc.identifier.scopusquality | Q3 | en_US |
| dc.identifier.startpage | 117 | en_US |
| dc.identifier.uri | https://hdl.handle.net/11363/806 | |
| dc.identifier.uri | https://doi.org/ | |
| dc.identifier.volume | 22 | en_US |
| dc.identifier.wos | WOS:000431094700014 | en_US |
| dc.identifier.wosquality | Q3 | en_US |
| dc.indekslendigikaynak | Web of Science | en_US |
| dc.indekslendigikaynak | Scopus | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Vinča Institute of Nuclear Sciences, Belgrade | en_US |
| dc.relation.ispartof | Thermal Science : International Scientific Journal | en_US |
| dc.relation.publicationcategory | Kategori Yok | 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 |
