Estimate of the parameters of the stochastic differential equations. Balck-scholes model

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Tarih

2009

Dergi Başlığı

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Yayıncı

Maltepe Üniversitesi

Erişim Hakkı

CC0 1.0 Universal
info:eu-repo/semantics/openAccess

Araştırma projeleri

Organizasyon Birimleri

Dergi sayısı

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

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Kaynak

International Conference of Mathematical Sciences

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Sayı

Künye

Khaldi, K. ve Medahi, S. (2009). Estimate of the parameters of the stochastic differential equations. Balck-scholes model. Maltepe Üniversitesi. s. 226.