Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
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DOI: 10.3390/econometrics11020015
Abstract: The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in… read more here.
Keywords: jumps asset; estimation; volatility; model ... See more keywords