Explicit formulae for parameters of stochastic models of a discounted equity index using maximum likelihood estimation with applications
K. Fergusson
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Fergusson, K. |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 12.2017, 2, p. 1-31
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| Subject: | Stochastic short rate | maximum likelihood estimation | Black-Scholes model | squared Bessel process | minimal market model | modified Bessel function of the first kind | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Black-Scholes-Modell | CAPM | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495217500105 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011716156