Parameter estimation of the Black-Scholes-Merton model
Master of Science === Department of Statistics === James Neill === In financial mathematics, asset prices for European options are often modeled according to the Black-Scholes-Merton (BSM) model, a stochastic differential equation (SDE) depending on unknown parameters. A derivation of the solution...
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| Language: | en_US |
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Kansas State University
2013
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| Online Access: | http://hdl.handle.net/2097/15669 |