Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory

DOI10.1007/s11590-007-0052-7zbMath1186.91197MaRDI QIDQ928297

Francesco Zirilli, Graziella Pacelli, Francesca Mariani

Publication date: 11 June 2008

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-007-0052-7

zbMATH Keywords

likelihood function; Heston model; filtering technique; option prices; European call; integral representation of the fundamental solution of the Fokker-Planck equation

Mathematics Subject Classification ID

62M09: Non-Markovian processes: estimation

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood, A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term

Cites Work

• A quadratically convergent method for linear programming
• Stochastic models, estimation, and control. Vol. 1
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Stochastic processes and filtering theory
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item