An analytic approximation of the likelihood function for the Heston model volatility estimation problem

DOI10.1080/14697680802595601zbMath1169.91362OpenAlexW2092348320MaRDI QIDQ3395736

Amir F. Atiya, Steve Wall

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802595601

zbMATH Keywords

stochastic volatilityvolatilityparticle filterHeston modelvolatility estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70)

Related Items (2)

Computational technique for simulating variable-order fractional Heston model with application in US stock market ⋮ On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method

Cites Work

• Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
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• Generalized autoregressive conditional heteroscedasticity
• Very fast simulated re-annealing
• Simulated Moments Estimation of Markov Models of Asset Prices
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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