A new methodology to estimate constant elasticity of variance

Author(s):

Ali Beiranvand * , Karim Ivaz , Hamzeh Beiranvand

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
This paper introduces a novel method for estimation of the parameters of the constant elasticity of variance model. To do this, the likelihood function will be constructed based on the approximate density function. Then, to estimate the parameters, some optimization algorithms will be applied.
Keywords:

Finance , Constant elasticity of variance , Likelihood function , Particle swarm algorithm , General relativity search algorithm , Nelder-Mead algorithm

Language:
English
Published:
Computational Methods for Differential Equations, Volume:9 Issue: 4, Autumn 2021
Pages:
1059 to 1068
https://www.magiran.com/p2332546  
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