Estimation of parameters of the Samuelson model with telegraph drift

DOI10.1007/S10958-016-3007-7MaRDI QIDQ328745zbMATH OpenOpenAlexFDO

Authors Anna Aleksandrovna Kharkhota, S. A. Mel'nik

Publication date 21 October 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-3007-7

zbMATH Keywords

stationary processergodic processSamuelson modeltelegraph wave

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3919523 (Why is no real title available?)
• scientific article; zbMATH DE number 194337 (Why is no real title available?)
• scientific article; zbMATH DE number 3802533 (Why is no real title available?)
• scientific article; zbMATH DE number 5042594 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Minimum variance hedging in a model with jumps at Poisson random times
• Option pricing when underlying stock returns are discontinuous
• Properties of the Samuelson model with a telegraph trend

Cited in

(4)

• An estimate of parameters of random variables of exponential distributions
• Differential representation of a Samuelson model with a telegraph drift
• Properties of the Samuelson model with a telegraph trend
• Guaranteed estimation of parameters in generalized Paul Samuelson model

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