Generalized first passage time method for the estimation of the parameters of the stochastic differential equation of the black-scholes model
Küçük Resim Yok
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Geometric brownian, Black-scholes equation, First passage time
Kaynak
International Conference of Mathematical Sciences (ICMS 2019)
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Khaled, 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.
