文章基本信息

标题：Change Point Detection in Black-scholes Models Using Recursive Estimation
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作者：Reza Habibi
期刊名称：International Journal of E-Business Development
印刷版ISSN：2225-7411
电子版ISSN：2226-7336
出版年度：2012
卷号：2
期号：1
语种：English
出版社：World Academic Publishing
摘要：This paper is concerned with change point detection using recursive estimation in non-linear time series. Specially, we consider the Black and Scholes (1973) option pricing model under stochastic volatility assumption. The test statistic is given and we describe how its null distribution may be simulated.
关键词：Black-Scholes Models; Brownian bridge; Change point; Cusum; RML; SDE; Simulation