Parameter Estimations of Heston Model Based on Consistent Extended Kalman Filter
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DOI: 10.1016/j.ifacol.2017.08.1850
Abstract: Abstract Heston model is widely applied to financial institutions, while there still exist difficulties in estimating the parameters and volatilities of this model. In this paper, the pseudo-Maximum Likelihood Estimation and consistent extended Kalman filter… read more here.
Keywords: consistent extended; kalman filter; model; extended kalman ... See more keywords