An analytic approximation of the likelihood function for the Heston model volatility estimation problem

ISSN： 1469-7688

Source： Quantitative Finance, Vol.9, Iss.3, 2009-04, pp. : 289-296

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A multifactor volatility Heston model

By Da Fonseca JosE Grasselli Martino Tebaldi Claudio

Quantitative Finance, Vol. 8, Iss. 6, 2008-09 ,pp. : 591-604

Routledge Ltd

Access to resources Recommend Favorite

Stochastic volatility and the goodness-of-fit of the Heston model

By Daniel Gilles Joseph Nathan L. Brée David S.

Quantitative Finance, Vol. 5, Iss. 2, 2005-04 ,pp. : 199-211

Routledge Ltd

Access to resources Recommend Favorite

Probability distribution of returns in the Heston model with stochastic volatility*

By Dragulescu A.A. Yakovenko V.M.

Quantitative Finance, Vol. 2, Iss. 6, 2002-06 ,pp. : 443-453

Routledge Ltd

Access to resources Recommend Favorite

On refined volatility smile expansion in the Heston model

By Friz Peter Gerhold Stefan Gulisashvili Archil Sturm Stephan

Quantitative Finance, Vol. 11, Iss. 8, 2011-08 ,pp. : 1151-1164

Routledge Ltd

Access to resources Recommend Favorite

Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

By Kraft Holger

Quantitative Finance, Vol. 5, Iss. 3, 2005-06 ,pp. : 303-313

Routledge Ltd

Access to resources Recommend Favorite