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....

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Bibliographische Detailangaben
Hauptverfasser: Hanson, F.B., Zongwu Zhu
Format: Tagungsbericht
Sprache:eng
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