Khaled, KhaldiSamia, Meddahi2024-07-122024-07-122019Khaled, 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. 188.978-605-2124-29-1https://hdl.handle.net/20.500.12415/2893The 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.enCC0 1.0 Universalinfo:eu-repo/semantics/openAccessGeometric brownianBlack-scholes equationFirst passage timeArticle189188