Some Simple ML Estimators in Stochastic Differential Equations

For many stochastic differential equations often met in financial theory, it is the drift and the dispersion which are the principal parameters of the model. In such cases it is shown that the parameters can be estimated by ordinary methods from normal distribution theory.

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Year of publication:	2001-10
Authors:	Andersen, Erling B.
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	Stochastic differential equations \| ML estimates \| financial models

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 01-10 12 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005749624