THERMAL SCIENCE

International Scientific Journal

PARAMETER ESTIMATION IN A BLACK SCHOLES

ABSTRACT
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.
KEYWORDS
PAPER SUBMITTED: 2017-09-15
PAPER REVISED: 2017-11-23
PAPER ACCEPTED: 2017-11-27
PUBLISHED ONLINE: 2018-01-07
DOI REFERENCE: https://doi.org/10.2298/TSCI170915277B
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2018, VOLUME 22, ISSUE Supplement 1, PAGES [S117 - S122]
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© 2020 Society of Thermal Engineers of Serbia. Published by the Vinča Institute of Nuclear Sciences, Belgrade, Serbia. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International licence