Title of article :
A new methodology to estimate constant elasticity of variance
Author/Authors :
Beiranvand, Ali Faculty of Mathematical Sciences - University of Tabriz - Tabriz, Iran , Ivaz, Karim Faculty of Mathematical Sciences - University of Tabriz - Tabriz, Iran , Beiranvand, Hamzeh Department of Electrical Engineering - Lorestan University - Khoramabad - Lorestan, Iran
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 con- structed 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
Journal title :
Computational Methods for Differential Equations
