PARAMETER ESTIMATION IN A BLACK-SCHOLES MODEL

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Bayram M., Orucova Buyukoz G., Partal T.

THERMAL SCIENCE, cilt.22, 2018 (SCI-Expanded) identifier 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
  • Yıldız Teknik Üniversitesi Adresli: Evet

Özet

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.