parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm
文献类型：期刊论文
| 作者 | Wang Ximei1; He Xingkang1; Bao Ying2; Zhao Yanlong1
|
| 刊名 | sciencechinainformationscience
 |
| 出版日期 | 2018 |
| 卷号 | 61期号:4页码:17 |
| ISSN号 | 1674-733X |
| 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. |
| 语种 | 英语 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/49723]  |
| 专题 | 系统科学研究所 |
| 作者单位 | 1.中国科学院数学与系统科学研究院 2.Risk Management Department, Industrial and Commercial Bank of China |
| 推荐引用方式 GB/T 7714 | Wang Ximei,He Xingkang,Bao Ying,et al. parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm[J]. sciencechinainformationscience,2018,61(4):17. |
| APA | Wang Ximei,He Xingkang,Bao Ying,&Zhao Yanlong.(2018).parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm.sciencechinainformationscience,61(4),17. |
| MLA | Wang Ximei,et al."parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm".sciencechinainformationscience 61.4(2018):17. |
入库方式： OAI收割
来源：数学与系统科学研究院
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