Realised volatility and parametric estimation of Heston SDEs
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DOI: 10.1007/s00780-020-00427-2
Abstract: We present a detailed analysis of observable moment-based parameter estimators for the Heston SDEs jointly driving the rate of returns ( R t ) $(R_{t})$ and the squared volatilities ( V t ) $(V_{t})$ .… read more here.
Keywords: heston sdes; realised volatilities; parameter estimators; heston ... See more keywords
Option pricing under the Heston model where the interest rate follows the Vasicek model
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1678643
Abstract: Abstract In this paper, we incorporate the stochastic nature of the short rate and volatility into the option pricing model. Vasicek–Heston hybrid model is proposed. This model allows for negative interest rate. With the technique… read more here.
Keywords: interest rate; model; heston; rate ... See more keywords