Generalized first passage time method for the estimation of the parameters of the stochastic differential equation of the black-scholes model
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CitationKhaled, K. ve Samia, M. (2019). Generalized first passage time method for the estimation of the parameters of the stochastic differential equation of the black-scholes model. International Conference of Mathematical Sciences (ICMS 2019). s. 188.
The parameters estimation is one of main problems of the dynamic models in many scientific fields, particularly in economics and finance. Since its appearance in the Black-Scholes formula has become the most used method for valuing options. It has been studied by many authors: Gross , Steele , Lamberton and Lapeyre, Tsay , etc... In the classical Black-Scholes model some assumptions are required. This paper studies a parameter estimation problem for the Black-Scholes equation through two methods : First Passage Time method (FPT) and Generalized Passage time Method (GPT). We study this problem on a simulated series.
SourceInternational Conference of Mathematical Sciences (ICMS 2019)
- Makale Koleksiyonu 
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