MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

Mathematical Finance - Tập 4 Số 2 - Trang 155-167 - 1994
Jin‐Chuan Duan1
1Faculty of Management, McGill University, Montréal, Canada

Tóm tắt

This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.

Từ khóa


Tài liệu tham khảo

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Thông tin xuất bản

Mathematical Finance

Tập 4 Số 2

155-167

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