Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297): Difference between revisions
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory |
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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (English)
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11 June 2008
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option prices
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Heston model
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European call
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integral representation of the fundamental solution of the Fokker-Planck equation
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filtering technique
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likelihood function
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