Estimation of parameters of the Samuelson model with telegraph drift

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

zbMATH Keywords

stationary processergodic processSamuelson modeltelegraph wave

Mathematics Subject Classification ID

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
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