Accurate parameter estimation for coupled stochastic dynamics

zbMATH Open1186.60064MaRDI QIDQ2380883FDOQ2380883

Authors: Robert Azencott, Yutheeka Gadhyan 

Publication date: 12 April 2010

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

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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)

Cited In (6)

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

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