Research Communication | Open Access
Volume 2021 | Communication ID 233
Volume 2021 | Communication ID 233
| Nonparametric density estimation from Black-Scholes model with fractional noise |
Souad Ichi, Hamid El Maroufy, Mohamed El Omari
Received |
Accepted |
Published |
January 31, 2021 |
February 15, 2021 |
March 15, 2021 |
Abstract: We present the problem of estimating the density from Stochastic Differential Equations with drift depending on random effects driven by normalized fractional Brownian motion. We extend the existing works given by El Omari et al. [1–3], which considered the problem of stochastic differential equations with random effects driven by fractional Brownian motion, but the Hurst parameter is considered known on the range (1/2,1). In this communication, we propose two nonparametric adaptive strategies to estimate the density of random effects from the Black-Scholes model. More precisely, we build ...