THE THREE-PARAMETER BLACK AND SCHOLES PROCESS
A. Bellekbir1, M. Elmerouani2, A. Arbai3
1,2Mathematics Department,University Abdelmalik Essaadi
Tetouan - 93002, MOROCCO
3 Mathematics Department, University Abdelmalik Essaadi
Tangier - 90000, MOROCCO

Abstract

In this paper, we propose a new study of the Black and Scholes Process (BSP). The main objective is to add a threshold parameter to the Black and Scholes Process. Using Kolmogorov equations, we obtain the probability density function and the moments of the process. Estimators of the parameters are studied by considering discrete sampling of the sample trajectories of the model and then using the maximum likelihood method and the Wicksell method.

Citation details of the article



Journal: International Journal of Applied Mathematics
Journal ISSN (Print): ISSN 1311-1728
Journal ISSN (Electronic): ISSN 1314-8060
Volume: 34
Issue: 3
Year: 2021

DOI: 10.12732/ijam.v34i3.6

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