MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

DOI10.1111/j.1467-9965.1994.tb00055.xzbMath0884.90026OpenAlexW1987099129MaRDI QIDQ4372031

Jin-Chuan Duan

Publication date: 1994

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00055.x

zbMATH Keywords

maximum likelihoodterm structuretransformed datadeposit insurancederivative contract

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Maximization by Quadratic Hill-Climbing