Some Simple ML Estimators in Stochastic Differential Equations

Erling B. Andersen
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Erling B. Andersen: University of Copenhagen, Institute of Economics

No 01-10, Discussion Papers from University of Copenhagen. Department 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.

Keywords: Stochastic differential equations; ML estimates; financial models (search for similar items in EconPapers)
Pages: 12 pages
Date: 2001-10
New Economics Papers: this item is included in nep-ecm, nep-ent, nep-ets and nep-net
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