5 papers · 1 filter
Hybrid estimation for a mixed fractional Black-Scholes model with random effects from discrete time observations
Nesrine Chebli, Hamdi Fathallah, Yousri Slaoui
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time ob…
Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calib…
Random effects estimation in a fractional diffusion model based on continuous observations
Nesrine Chebli, Hamdi Fathallah, Yousri Slaoui
The purpose of the present work is to construct estimators for the random effects in a fractional diffusion model using a hybrid estimation method where we combine parametric and n…
On Conditional least squares estimation for the AD(1,n) model
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of AD(1, n) where n is a positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic,…
Asymptotic properties of AD(1, n) model and its maximum likelihood estimator
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of affine diffusions in denoted by where is a positive integer wh…