Parameter estimation in a black-scholes model

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

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

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 22
  • Basım Tarihi: 2018
  • Doi Numarası: 10.2298/tsci170915277b
  • Dergi Adı: Thermal Science
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Anahtar Kelimeler: Black scholes model, Maximum likelihood estimation method, Non-parametric estimation method, Stochastic differential equations
  • Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
  • İstanbul Gelişim Üniversitesi Adresli: Evet

Özet

© 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.