An analytic approximation of the likelihood function for the Heston model volatility estimation problem

DOI10.1080/14697680802595601MaRDI QIDQ3395736zbMATH OpenOpenAlexFDO

Authors Amir F. Atiya, Steve Wall

Publication date 13 September 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697680802595601

zbMATH Keywords

Heston modelparticle filterstochastic volatilityvolatilityvolatility estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Simulated Moments Estimation of Markov Models of Asset Prices
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Very fast simulated re-annealing

Cited in

(7)

• On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method
• Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
• Computational technique for simulating variable-order fractional Heston model with application in US stock market
• On the density of log-spot in the Heston volatility model
• scientific article; zbMATH DE number 7409459 (Why is no real title available?)
• Efficient likelihood estimation of Heston model for novel climate-related financial contracts valuation
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory

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