Parameter estimation in a black-scholes model

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BAYRAM M., Buyukoz G. O., Partal T.

Thermal Science, vol.22, 2018 (SCI-Expanded) identifier

  • Publication Type: Article / Article
  • Volume: 22
  • Publication Date: 2018
  • Doi Number: 10.2298/tsci170915277b
  • Journal Name: Thermal Science
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Keywords: Black scholes model, Maximum likelihood estimation method, Non-parametric estimation method, Stochastic differential equations
  • Istanbul Gelisim University Affiliated: Yes

Abstract

© 2018 Society of Thermal Engineers of Serbia.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.