Maximum likelihood estimation with dynamic measurement errors and application to interest rate modeling
Stochastic volatility (SV) model is widely applied in the extension of the constant volatility in Black-Scholes option pricing.In this paper, we extend the SV model driven by fractional Brownian motion (FBM). A crucial problem in its application is how the unknown parameters in the model are to be e...
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| Format: | Article |
| Language: | English |
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Academic Publications, Ltd.
2016
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| Online Access: | https://repo.uum.edu.my/id/eprint/21562/1/IJPAM%20110%203%202016%20433%20446.pdf |