A new methodology to estimate constant elasticity of variance

نویسندگان
Ivaz, Karim ID 1
Beiranvand, Ali ID 2
Beiranvand, Hamzeh ID 3

1 Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran.

2 Faculty of Mathematical Sciences, University of Tabriz, Tabriz, Iran.

3 Department of Electrical Engineering, Lorestan University, Khoramabad, Lorestan, Iran.

doi
10.22034/cmde.2020.27563.1369
چکیده

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.

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