首页 | 本学科首页   官方微博 | 高级检索  
     检索      


MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
Authors:Jin-Chuan Duan
Institution:Faculty of Management, McGill University, Montreal, Canada
Abstract: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.
Keywords:maximum likelihood  derivative contract  transformed data  term structure  deposit insurance
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号