MONTE CARLO AND MOMENT ESTIMATION FOR PARAMETERS OF A BLACK SCHOLES MODEL FROM AN INFORMATION-BASED PERSPECTIVE (THE BSBHM MODEL):A COMPARISON WITH THE BS-BHM UPDATED MODEL

MUTIJAH, - and SURYO GURITNO, - and GUNARDI, - (2013) MONTE CARLO AND MOMENT ESTIMATION FOR PARAMETERS OF A BLACK SCHOLES MODEL FROM AN INFORMATION-BASED PERSPECTIVE (THE BSBHM MODEL):A COMPARISON WITH THE BS-BHM UPDATED MODEL. In: Proceeding of IICMA 2013, 2013. (In Press)

[img]
Preview
Text
Proceeding of IICMA 2013 Mathematics Finance.pdf

Download (398kB) | Preview

Abstract

This paper presents estimation of parameters on the BS-BHM model by using Monte Carlo and Moments estimate as they have been done in BS-BHM Updated model. BS-BHM Updated model is BS-BHM model that it is improved the result of Gaussian integral, especially in completing square. Estimation of parameters use Monte Carlo and moments estimate under BS-BHM model results the equation of polynomial of four degree . While estimation of parameters under BS-BHM Updated model results the quadratic equation. Application for real data of Microsoft shares (MSFT), under BS-BHM model results four different estimates values, while under BS-BHM Updated model results one estimate value.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: BS-BHM model, Monte Carlo estimate, Moment estimate,and Comparison
Subjects: 500 Natural sciences and mathematics > 510 Mathematics > 515 Analysis
500 Natural sciences and mathematics > 510 Mathematics > 519 Probabilities and applied mathematics
Divisions: Fakultas Tarbiyah dan Ilmu Keguruan > Tadris > Tadris Matematika
Depositing User: Restu Umar Fauzi
Date Deposited: 30 Mar 2017 01:23
Last Modified: 30 Mar 2017 01:23
URI: http://repository.iainpurwokerto.ac.id/id/eprint/2324

Actions (login required)

View Item View Item