Utilizing parametric and non-parametric methods in Black-Scholes process with application to finance
Other Title(s)
توظيف الطرائق المعلمي و اللا معلمي في عملية بلاك-شوز مع تطبيقها في الجانب المالي
Author
Source
al-Qadisiyah Journal for Computer Science and Mathematics
Issue
Vol. 8, Issue 1 (30 Jun. 2016)8 p.
Publisher
University of al-Qadisiyah College of computer Science and Information Technology
Publication Date
2016-06-30
Country of Publication
Iraq
No. of Pages
8
Main Subjects
Topics
Abstract EN
In this article, we present that Black-Scholes process is a famous formula in financial mathematics.
Our aim is to study the behavior of stochastic parameters in that model with application to Financial Time Stock Exchange FTSE100 Index.
We use some parametric (Maximum likelihood, and Unbiased and Efficient) and nonparametric (Penalized least Squares, with different functions for the drift and diffusion coefficients and generally the Black-Scholes process) methods.
Moreover, we study the change-point estimation for FTSE100 Index in order to determine these changes, and effects on the behavior of the Black-Scholes process.
American Psychological Association (APA)
al-Sadun, Muhannad Fayiz. 2016. Utilizing parametric and non-parametric methods in Black-Scholes process with application to finance. al-Qadisiyah Journal for Computer Science and Mathematics،Vol. 8, no. 1.
https://search.emarefa.net/detail/BIM-787677
Modern Language Association (MLA)
al-Sadun, Muhannad Fayiz. Utilizing parametric and non-parametric methods in Black-Scholes process with application to finance. al-Qadisiyah Journal for Computer Science and Mathematics Vol. 8, no. 1 (2016).
https://search.emarefa.net/detail/BIM-787677
American Medical Association (AMA)
al-Sadun, Muhannad Fayiz. Utilizing parametric and non-parametric methods in Black-Scholes process with application to finance. al-Qadisiyah Journal for Computer Science and Mathematics. 2016. Vol. 8, no. 1.
https://search.emarefa.net/detail/BIM-787677
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-787677