中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 系统科学研究所
Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm

文献类型：期刊论文

作者Wang, Ximei1,2; He, Xingkang1,2; Bao, Ying3; Zhao, Yanlong1,2
刊名SCIENCE CHINA-INFORMATION SCIENCES
出版日期2018-04-01
卷号61期号:4页码:17
关键词Heston model stochastic volatility model parameter estimation normal maximum likelihood estimation pseudo maximum likelihood estimation consistent extended Kalman filter
ISSN号1674-733X
DOI10.1007/s11432-017-9215-8
英文摘要Heston model is the most famous stochastic volatility model in finance. This paper considers the parameter estimation problem of Heston model with both known and unknown volatilities. First, parameters in equity process and volatility process of Heston model are estimated separately since there is no explicit solution for the likelihood function with all parameters. Second, the normal maximum likelihood estimation (NMLE) algorithm is proposed based on the Ito transformation of Heston model. The algorithm can reduce the estimate error compared with existing pseudo maximum likelihood estimation. Third, the NMLE algorithm and consistent extended Kalman filter (CEKF) algorithm are combined in the case of unknown volatilities. As an advantage, CEKF algorithm can apply an upper bound of the error covariance matrix to ensure the volatilities estimation errors to be well evaluated. Numerical simulations illustrate that the proposed NMLE algorithm works more efficiently than the existing pseudo MLE algorithm with known and unknown volatilities. Therefore, the upper bound of the error covariance is illustrated. Additionally, the proposed estimation method is applied to American stock market index S&P 500, and the result shows the utility and effectiveness of the NMLE-CEKF algorithm.
资助项目National Key Research and Development Program of China[2016YFB0901902] ; National Natural Science Foundation of China[61622309] ; National Basic Research Program of China (973 Program)[2014CB845301]
WOS研究方向Computer Science ; Engineering
语种英语
WOS记录号WOS:000428507300001
出版者SCIENCE PRESS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/30129]  
专题系统科学研究所
通讯作者Zhao, Yanlong
作者单位1.Chinese Acad Sci, Key Lab Syst & Control, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
3.Ind & Commercial Bank China, Risk Management Dept, Beijing 100033, Peoples R China
推荐引用方式
GB/T 7714		 Wang, Ximei,He, Xingkang,Bao, Ying,et al. Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm[J]. SCIENCE CHINA-INFORMATION SCIENCES,2018,61(4):17.
APA Wang, Ximei,He, Xingkang,Bao, Ying,&Zhao, Yanlong.(2018).Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm.SCIENCE CHINA-INFORMATION SCIENCES,61(4),17.
MLA Wang, Ximei,et al."Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm".SCIENCE CHINA-INFORMATION SCIENCES 61.4(2018):17.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。