Estimation of parameters of the Samuelson model with telegraph drift
From MaRDI portal
Publication:328745
DOI10.1007/S10958-016-3007-7zbMath1414.91376OpenAlexW2517547395MaRDI QIDQ328745
Anna Aleksandrovna Kharkhota, Sergei Anatol'evich Melnyk
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
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- 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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Estimation of parameters of the Samuelson model with telegraph drift