Paper
Change Point Detection in Black-scholes Models Using Recursive Estimation
- Authors:
- Reza Habibi
- Abstract
- 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.
- Keywords
- Black-Scholes Models; Brownian bridge; Change point; Cusum; RML; SDE; Simulation
- StartPage
- 13
- EndPage
- 15
- Doi