Parameter estimation for the subcritical Heston model based on discrete time observations

Barczy, Mátyás
Pap, Gyula
T. Szabó, Tamás

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Publication date

January 2016

DOI

10.14232/actasm-015-016-0

Abstract

We study asymptotic 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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Parameter estimation for the subcritical Heston model based on discrete time observations

Abstract

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Parameter estimation for the subcritical Heston model based on discrete time observations

Abstract

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