Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations

作者：Barczy Matyas^*; Pap Gyula

来源：Statistics, 2016, 50(2): 389-417.

DOI：10.1080/02331888.2015.1044991

• Heston model
• maximum-likelihood estimator

We study asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations of the log-price process. We distinguish three cases: subcritical (also called ergodic), critical and supercritical. In the subcritical case, asymptotic normality is proved for all the parameters, while in the critical and supercritical cases, non-standard asymptotic behaviour is described.

• 出版日期2016