主 题: Parameter estimation for Heston models
报告人: Prof. Matyas Barczy (University of Debrecen， 匈牙利)
时 间: 2014-05-26 15:00-16:00
地 点: 304am永利集团理科一号楼1493（概率论系列报告）
First, we study asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In the subcritical case, asymptotic normality is proved for all the parameters, while in the critical and supercritical cases, non-standard asymptotic behavior is described.
Next, we study asymptotic properties of some parameter estimators for subcritical Heston models based on discrete time observations derived from conditional least squares estimators of some modified parameters.
References:
[1] M. Barczy, G. Pap: Maximum likelihood estimation for Heston models, 2013. ArXiv 1310.4783
[2] M. Barczy, G. Pap, T. T. Szabo: Parameter estimation for subcritical Heston models based on discrete time observations, 2014. ArXiv 1403.0527
