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PARAMETER ESTIMATION IN A BLACK-SCHOLES MODEL

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dc.contributor.authorBayram, Mustafa
dc.contributor.authorOrucova Buyukoz, Gulsen
dc.contributor.authorPartal, Tugcem
dc.date.accessioned2026-06-27T14:10:56Z
dc.date.issued2018
dc.description.abstractIn 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.en
dc.description.urihttps://doi.org/10.2298/tsci170915277b
dc.identifier.doi10.2298/tsci170915277b
dc.identifier.eissn2334-7163
dc.identifier.endpageS122
dc.identifier.issn0354-9836
dc.identifier.startpageS117
dc.identifier.urihttps://hdl.handle.net/20.500.14981/57653
dc.identifier.volume22
dc.identifier.wos000431094700014
dc.language.isoeng
dc.publisherVINCA INST NUCLEAR SCI
dc.relation.ispartofTHERMAL SCIENCE
dc.rightsopenAccess
dc.subjectnon-parametric estimation method
dc.subjectstochastic differential equations
dc.subjectblack scholes model
dc.subjectmaximum likelihood estimation method
dc.subjectPRICE
dc.subjectThermodynamics
dc.titlePARAMETER ESTIMATION IN A BLACK-SCHOLES MODEL
dc.typeArticle
dspace.entity.typePublication
local.import.sourceWOS

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