Explicit Formulae For Parameters Of Stochastic Models Of A Discounted Equity Index Using Maximum Likelihood Estimation With Applications
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DOI: 10.1142/S2010495217500105
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Cited by:
- Kevin Fergusson, 2020. "Forecasting inflation using univariate continuous‐time stochastic models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 37-46, January.
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Keywords
Stochastic short rate; maximum likelihood estimation; Black–Scholes model; squared Bessel process; minimal market model; modified Bessel function of the first kind;All these keywords.
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