Parameter estimation in a Black Scholes
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 s...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
VINCA Institute of Nuclear Sciences
2018-01-01
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| Series: | Thermal Science |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0354-9836/2018/0354-98361700277B.pdf |