Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option

DOI10.1155/2016/7549537zbMath1400.91618OpenAlexW2501593913WikidataQ59141187 ScholiaQ59141187MaRDI QIDQ1793537

Bin Song, Dongmei Guo, Huan Wang

Publication date: 12 October 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/7549537

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Quasi-maximum likelihood estimation of stochastic volatility models
• An analytic pricing formula for lookback options under stochastic volatility
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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