Estimate of the parameters of the stochastic differential equations. Balck-scholes model
Küçük Resim Yok
Tarih
2009
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
In this paper, one treats the techniques of estimate of the parameters of the Black - Scholes model. These techniques are based on the function of probability. The ”discrete” method considers the function of density of transition from the process of diffusion normal log. The second method proposes the estimate of the parameters of the model via the observation of the time of first passage of the process through a constant terminal of which the density is known. One treats an application of the action Toyota MTR.
Açıklama
Anahtar Kelimeler
Kaynak
International Conference of Mathematical Sciences
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Khaldi, K. ve Medahi, S. (2009). Estimate of the parameters of the stochastic differential equations. Balck-scholes model. Maltepe Üniversitesi. s. 226.