Maximum Likelihood Estimation Using Price Data Of The Derivative Contract
This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options. Copyright 1994 Blackwell Publishers.
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Volume (Year): 4 (1994)
Issue (Month): 2 ()
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