Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Francesca Mariani; Graziella Pacelli; Francesco Zirilli
| Year of publication: |
2008
|
|---|---|
| Authors: | Mariani, Francesca ; Pacelli, Graziella ; Zirilli, Francesco |
| Published in: |
Optimization letters. - Berlin : Springer, ISSN 1862-4472, ZDB-ID 2274663-8. - Vol. 2.2008, 2, p. 177-222
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Optionspreistheorie | Option pricing theory | CAPM | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003687162