Duan, Jin-Chuan, "Maximum Likelihood Estimation Using Price Data of the Derivative Contract", Mathematical Finance, Vol. 4, No. 2, (April 1994), pp. 155-167.
Abstract: This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. The use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.