Exercise 2.6 Try to estimate the parameters of the bivariate Black-Scholes model for Apple and Microsoft, using

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Exercise 2.6 Try to estimate the parameters of the bivariate Black-Scholes model for Apple and Microsoft, using the MATLAB function EstBS2DCor with the starting points μ1 = μ2 = 0 = ρ and σ1 = σ2 = .001. Can you explain the results?

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Statistical Methods For Financial Engineering

ISBN: 9781032477497

1st Edition

Authors: Bruno Remillard

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Question Posted: Oct 26, 2024 06:00 AM

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Exercise 2.6 Try to estimate the parameters of the bivariate Black-Scholes model for Apple and Microsoft, using the MATLAB function EstBS2DCor with the starting points 1 = 2 = 0 = and 1 = 2 = .001....
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Exercise 2.6 Try to estimate the parameters of the bivariate Black-Scholes model for Apple and Microsoft, using

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Statistical Methods For Financial Engineering

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