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)
|
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 Matematika |
| Depositing User: | Restu Umar Fauzi |
| Date Deposited: | 30 Mar 2017 01:23 |
| Last Modified: | 06 Nov 2019 01:47 |
| URI: | http://repository.uinsaizu.ac.id/id/eprint/2324 |
Actions (login required)
 |
View Item |
