Erling B. Andersen (University of Copenhagen, Institute of Economics)
Abstract
For many stochastic differential equations often met in financial theory, it is the drift and the dispersion which are the principal parameters of the model. In such cases it is shown that the parameters can be estimated by ordinary methods from normal distribution theory.
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Publisher Info
Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
01-10.
Length: 12 pages Date of creation: Oct 2001 Date of revision: Handle: RePEc:kud:kuiedp:0110
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