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The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods

Authors :
Fatone, Lorella
Mariani, F.
Recchioni, M. C.
Zirilli, F. .
Publication Year :
2008
Publisher :
Dynamic Publishers, 2008.

Subjects

Subjects :
maximum likelihood method
calibration problem
Heston model

Details

Language :
English
Database :
OpenAIRE
Accession number :
edsair.dedup.wf.001..ff72308699f373a6f06564b79fd5dfe9

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