Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
scientific article

    Statements

    Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (English)
    0 references
    0 references
    0 references
    0 references
    11 June 2008
    0 references
    option prices
    0 references
    Heston model
    0 references
    European call
    0 references
    integral representation of the fundamental solution of the Fokker-Planck equation
    0 references
    filtering technique
    0 references
    likelihood function
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references