International Scientific Journal


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.
PAPER REVISED: 2017-11-23
PAPER ACCEPTED: 2017-11-27
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THERMAL SCIENCE YEAR 2018, VOLUME 22, ISSUE Supplement 1, PAGES [S117 - S122]
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