Comparison of market parameters for jump-diffusion distributions using multinomial maximum likelihood estimation
Previously, we have shown that the proper method for estimating parameters from discrete, binned stock log returns is the multinomial maximum likelihood estimation, and its performance is superior to the method of least squares. Useful formulas have been derived for the jump-diffusion distributions....
Gespeichert in:
Hauptverfasser: | , |
---|---|
Format: | Tagungsbericht |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext bestellen |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Schreiben Sie den ersten Kommentar!