Hybrid estimation for a mixed fractional Black-Scholes model with random effects from discrete time observations
含随机效应的混合分数 Black–Scholes 模型:离散观测下的混合估计
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent stochastic processes, each driven by a linear combination of standard Brownian motion and an independent fractional Brownian motion, and governed by a drift term that depends on an unobserved random effect with unknown distribution. Based on $n$…