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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dc.contributor.authorKhaled, Khaldi
dc.contributor.authorSamia, Meddahi
dc.date.accessioned2024-07-12T20:55:47Z
dc.date.available2024-07-12T20:55:47Z
dc.date.issued2019en_US
dc.departmentMaltepe Üniversitesi, İnsan ve Toplum Bilimleri Fakültesien_US
dc.description.abstractThe 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.en_US
dc.identifier.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.en_US
dc.identifier.endpage189en_US
dc.identifier.isbn978-605-2124-29-1
dc.identifier.startpage188en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12415/2893
dc.language.isoenen_US
dc.publisherMaltepe Üniversitesien_US
dc.relation.ispartofInternational Conference of Mathematical Sciences (ICMS 2019)en_US
dc.relation.publicationcategoryUluslararası Konferans Öğesi - Başka Kurum Yazarıen_US
dc.rightsCC0 1.0 Universal*
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.snmzKY01400
dc.subjectGeometric brownianen_US
dc.subjectBlack-scholes equationen_US
dc.subjectFirst passage timeen_US
dc.titleGeneralized first passage time method for the estimation of the parameters of the stochastic differential equation of the black-scholes modelen_US
dc.typeArticle
dspace.entity.typePublication

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