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This document is a thesis submitted by Kubrom Hisho Teka for the degree of Master of Science in Statistics at Kansas State University in 2013. The thesis discusses parameter estimation of the Black-Scholes-Merton model, which is commonly used to price European option contracts. It reviews the derivation of the Black-Scholes equation and its solution as geometric Brownian motion. It also expresses the Black-Scholes model as a heat equation and discusses American options as an obstacle problem, which is a typ

Author

Jonathan Zuñiga Gonzalez

Language

EN