Abstract
This chapter focuses on numerical estimations of the Kou model parameters. The chapter begins with the theoretical introduction of several models used in numerical calculation and moves to the evaluation of the parameters of the Kou model. After verification of the significance of the parameters by using statistical tests, the chapter finishes with the illiquidity premium calculation by using the bid and ask prices of European options and with a corresponding optimization technique.
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Karimov, A. (2017). Numerical Implementation and Parameter Estimation Under KOU Model. In: Identifying Stock Market Bubbles. Contributions to Management Science. Springer, Cham. https://doi.org/10.1007/978-3-319-65009-8_6
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DOI: https://doi.org/10.1007/978-3-319-65009-8_6
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