35 citations · 41 across the 11 of their papers we have counts for
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math.ST2015
Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Matyas Barczy, Mohamed Ben Alaya, Ahmed Kebaier +1
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can b…
math.PR2015★ 35 cited
Central limit theorem for the multilevel Monte Carlo Euler method
Mohamed Ben Alaya, Ahmed Kebaier
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [Oper. Res. 56 (2008) 607-617] which is significantly more efficient than the classica…