Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
DOI10.1007/s10955-014-1120-xzbMath1328.82037arXiv1403.4893OpenAlexW3106218331MaRDI QIDQ2350371
Yutheeka Gadhyan, Robert Azencott
Publication date: 29 June 2015
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.4893
parameter estimationstochastic differential equationsasymptotic consistencymaximum likelihood estimatorsHeston joint SDEsjoint stock price and volatility
Numerical methods (including Monte Carlo methods) (91G60) Asymptotic behavior of solutions to PDEs (35B40) Microeconomic theory (price theory and economic markets) (91B24) A priori estimates in context of PDEs (35B45) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items (2)
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