2 papers
math.ST2026
Hybrid estimation for a mixed fractional Black-Scholes model with random effects from discrete time observations
Nesrine Chebli, Hamdi Fathallah, Yousri Slaoui
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 ob…
math.ST2025
Random effects estimation in a fractional diffusion model based on continuous observations
Nesrine Chebli, Hamdi Fathallah, Yousri Slaoui
The purpose of the present work is to construct estimators for the random effects in a fractional diffusion model using a hybrid estimation method where we combine parametric and n…