WEIGHTED LEAST-SQUARES ESTIMATION FOR THE SUBCRITICAL HESTON PROCESS

被引：0

作者：

de Chaumaray, M. du Roy ^{[1
,2
]}

机构：

[1] Inst Math Bordeaux, Talence, France

[2] ENSAI, Campus Ker Lann,Rue Blaise Pascal,BP 37203, F-35172 Bruz, France

来源：

JOURNAL OF APPLIED PROBABILITY | 2018年 / 55卷 / 02期

关键词：

Squared radial Ornstein-Uhlenbeck process; Heston process; parameter estimation; weighted least-squares estimate; consistency; asymptotic normality; ORNSTEIN-UHLENBECK PROCESS; STOCHASTIC VOLATILITY; TERM STRUCTURE; LARGE DEVIATIONS; ROOT DIFFUSIONS; OPTIONS; MODELS; SMILE;

D O I：

10.1017/jpr.2018.34

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourselves to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and a natural but intractable estimator, we use a weighted least-squares estimator. We establish strong consistency and asymptotic normality for this estimator. Numerical simulations are also provided, illustrating the favorable performance of our estimation procedure.

引用

页码：543 / 558

页数：16

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