In this paper we study the problem of obtaining accurate estimates of the parameters, of the initial stochastic variance and of the risk premium parameter of the risk neutral measure of the Heston stochastic volatility model from the observation at discrete times of the stock log-returns and of the prices of a European call option on the stock.
The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods
MARIANI, Francesca;RECCHIONI, MARIA CRISTINA;
2008-01-01
Abstract
In this paper we study the problem of obtaining accurate estimates of the parameters, of the initial stochastic variance and of the risk premium parameter of the risk neutral measure of the Heston stochastic volatility model from the observation at discrete times of the stock log-returns and of the prices of a European call option on the stock.File in questo prodotto:
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