An option pricing by eliminating observation noise when the model parameters are unknown

DOI10.1080/00207729708929483zbMath0902.90007OpenAlexW2084968262MaRDI QIDQ4392367

Makiko Tsukui, Katsuhisa Furuta

Publication date: 8 June 1998

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729708929483

zbMATH Keywords

parameter estimationstock pricesimulationscall option priceobservation noise

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Cites Work

• Stochastic models, estimation, and control. Vol. 1
• Stochastic stability and control
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