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arXiv · 1310.4783

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

Matyas Barczy·Gyula Pap
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Abstract

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 behavior is described.

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Matyas Barczy, Gyula Pap. 2013-10-17. Asymptotic properties of maximum likelihood estimators for Heston models based on continuous time observations. https://arxiv.org/abs/1310.4783

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