Parameter estimation for the subcritical Heston model based on discrete time observations
We study asymptoti c properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.
Elmentve itt :
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| Dokumentumtípus: | Cikk |
| Megjelent: |
Bolyai Institute, University of Szeged
Szeged
2016
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| Sorozat: | Acta scientiarum mathematicarum
82 No. 1-2 |
| Kulcsszavak: | Heston modell, Matematika |
| Tárgyszavak: | |
| doi: | 10.14232/actasm-015-016-0 |
| Online Access: | http://acta.bibl.u-szeged.hu/46449 |
| Tartalmi kivonat: | We study asymptoti c properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters. |
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| Terjedelem/Fizikai jellemzők: | 313-338 |
| ISSN: | 0001-6969 |