Asset pricing - Parameter estimation with k-means clustering - Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, the authors use the k-means clustering method to estimate the parameters of multinomial trees. Using the weak ...
| Year of publication: |
2008
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| Authors: | Lee, Kiseop ; Xu, Mingxin |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 11, p. 82-87
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