![Sample our Engineering & Technology journals, sign in here to start your access, latest two full volumes FREE to you for 14 days]({"type":"image" , "src" : "/sda/5933/TOC-Subject-Sample-2021-Engineering-Tech.jpg"})
Abstract
Quite recently, models in finance have been based on hyperbolic distributions instead of the normal distribution. The corresponding parameters can be calculated only numerically (see Blœsild and S0rensen [8]). In this article we give asymptotic formulas for maximum-likelihood estimators of hyperbolic density functions used in finance. We compare our asymptotic calculated estimators with the numerically computed values and determine in both cases the hyperbolic option prices to find out the influence of the estimated parameters on financial characteristics.
Additional information
Notes on contributors
Martin Predota
Martin Predota is appointee of the insurance supervision of the Austrian financial market authority. Complementing his research focus in financial mathematics and insurance mathematics. He received the Ph. D. degree from Graz University of Technology and was a Member of the Department of Mathematics at Graz University of Technology for some years. He is author or co-author of publications in financial mathematics.