most citedOption Pricing Accuracy for Estimated Heston Models

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math.PR2014★ 2 cited

Accuracy of Maximum Likelihood Parameter Estimators for Heston volatility SDE

Robert Azencott, Yutheeka Gadhyan

We study approximate maximum likelihood estimators (MLEs) for the parameters of the widely used Heston stock and volatility stochastic differential equations (SDEs). We compute exp…