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

DOI10.1007/s11590-007-0052-7zbMath1186.91197OpenAlexW1990410657MaRDI QIDQ928297

Francesca Mariani, Graziella Pacelli, Francesco Zirilli

Publication date: 11 June 2008

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-007-0052-7

zbMATH Keywords

likelihood functionHeston modelfiltering techniqueoption pricesEuropean callintegral representation of the fundamental solution of the Fokker-Planck equation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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