parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm

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	parameterestimatesofhestonstochasticvolatilitymodelwithmleandconsistentekfalgorithm
	Wang Ximei 1; He Xingkang 1; Bao Ying 2; Zhao Yanlong1
	2018-01-01
发表期刊	sciencechinainformationscience
ISSN	1674-733X
卷号	61 期号:4 页码:17
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
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/49724
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.