Accurate parameter estimation for coupled stochastic dynamics

MaRDI QIDQ2380883zbMATH OpenFDO

Authors Robert Azencott, Yutheeka Gadhyan

Publication date 12 April 2010

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

parameter estimationmaximum likelihood estimatorsstochastic differential equationsHeston modelasset price dynamicsvolatility dynamics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(6)

• On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
• Option price sensitivity to errors in stochastic dynamics modeling
• Parameter identification in financial market models with a feasible point SQP algorithm
• Realised volatility and parametric estimation of Heston SDEs
• Weighted least-squares estimation for the subcritical Heston process
• Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option

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