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Some Simple ML Estimators in Stochastic Differential Equations

  • Erling B. Andersen

    (University of Copenhagen, Institute of Economics)

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    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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    Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 01-10.

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    Length: 12 pages
    Date of creation: Oct 2001
    Date of revision:
    Handle: RePEc:kud:kuiedp:0110
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