A Black-Scholes Model from an Information-Based Perspective by Brody Hughston Macrina

Mutijah,; Guritno, Suryo; Gunardi, .

doi:10.1109/icssbe.2012.6396594

Search citation statements

Order By: Relevance

Paper Sections

Select...

Mutijah Suryo Guritno and Gunardi1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2013

Publication Types

Select...

Article1

Relationship

Self Cite0

Independent1

Authors

Journals

Cited by 1 publication

(1 citation statement)

References 7 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…where τ ൌ tT ൫T -t൯ . Successive steps to obtain the model in equation (1.15) can be seen [9]. Furthermore, the model in equation (1.15) is called the BS-BHM Updated model.…”

Section: Mutijah Suryo Guritno and Gunardimentioning

confidence: 99%

Estimation of parameters on the BS-BHM updated model

Mutijah¹,

Guritno²,

Gunardi³

2013

ams

View full text Add to dashboard Cite

This paper will introduce BS-BHM Updated model and show the lognormal distribution for BS-BHM Updated Model. Estimation of two parameters on the BS-BHM Updated model has been done in this paper. It used Monte Carlo estimation method and the method of moments to estimate two parameters on the BS-BHM Updated model. The Empirical results of the two method of estimation obtained similar results for the volatility parameter. While the results 3556 Mutijah, Suryo Guritno and Gunardi of parameter estimation for the parameter of information flow rate obtained almost the same results.

show abstract

“…where τ ൌ tT ൫T -t൯ . Successive steps to obtain the model in equation (1.15) can be seen [9]. Furthermore, the model in equation (1.15) is called the BS-BHM Updated model.…”

Section: Mutijah Suryo Guritno and Gunardimentioning

confidence: 99%