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    Generalized first passage time method for the estimation of the parameters of the stochastic differential equation of the black-scholes model
    (Maltepe Üniversitesi, 2019) Khaled, Khaldi; Samia, Meddahi
    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.