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
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