Yazar "Orucova Büyüköz, Gülşen" için listeleme
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Numerical methods for simulation of stochastic differential equations
Bayram, Mustafa; Partal, Tuğçem; Orucova Büyüköz, Gülşen (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. ... -
Parameter Estimation an a Black Scholes
Bayram, Mustafa; Orucova Büyüköz, Gülşen; Partal, Tuğçem (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 ...
