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

Optimization Letters

Volumn 2, Issue 2, 2008, Pages 177-222

  Mariani, Francesca ^a   Pacelli, Graziella ^a   Zirilli, Francesco ^b  

^a UNIVERSITÀ POLITECNICA DELLE MARCHE   (Italy)

^b SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

FAST FOURIER TRANSFORMS; MAXIMUM LIKELIHOOD ESTIMATION; OPERATING COSTS; OPTIMIZATION; PARAMETER ESTIMATION; STOCHASTIC MODELS; WAVELET ANALYSIS;

HESTON MODELS; HIGH PERFORMANCE ALGORITHMS; INITIAL CONDITIONS; MAXIMIZERS; OPTION PRICES;

ASSET MANAGEMENT;

EID: 38549129329     PISSN: 18624472     EISSN: 18624480     Source Type: Journal    
DOI: 10.1007/s11590-007-0052-7     Document Type: Article

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