Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation

DOI10.1080/00949655.2014.926899MaRDI QIDQ5220864zbMATH OpenOpenAlexFDO

Authors Joshua Cape, William Dearden, William Gamber, Jeffrey Liebner, Qin Lu

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.926899

zbMATH Keywords

Bates modelBayesianempiricalHeston modelMarkov chain Monte Carlooption priceparameter estimationS\&P 500 index futures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Analysis of financial time series
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Cited in

(6)

• Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option
• Modelling joint behaviour of asset prices using stochastic correlation
• Simulating from the Heston model: a gamma approximation scheme
• Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model
• Bayesian estimation of stochastic volatility jump diffusion model parameters using S&P 500 and VIX data

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