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
| Main Authors: | MUTIJAH, -, SURYO GURITNO, -, GUNARDI, - |
|---|---|
| Format: | Proceeding PeerReviewed Book |
| Bahasa: | eng |
| Terbitan: |
, 2013
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| Subjects: | |
| Online Access: |
http://repository.iainpurwokerto.ac.id/2324/1/Proceeding%20of%20IICMA%202013%20Mathematics%20Finance.pdf http://repository.iainpurwokerto.ac.id/2324/ |
Daftar Isi:
- 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.