ScholarLens Back to search
2015•arXiv (Cornell University)Open access

Maximum likelihood estimators for a jump-type Heston model

Mátyás Barczy, Mohamed Ben Alaya, Ahmed Kebaier, Gyula Pap

Open full text 1 citations

Abstract

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some simulations to illustrate our results.

About this research paper

What this paper is about

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some simulations to illustrate our results.

Why it matters

OpenAlex reports 1 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some simulations to illustrate our results.

Key concepts: Estimator, Strong consistency, Jump, Mathematics, Consistency (knowledge bases), Asymptotic distribution, Heston model, Applied mathematics

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Maximum likelihood estimators for a jump-type Heston model — Research Paper | ScholarLens