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Start Over Search Limiters Available in Library Collection Topic mathematical models Publication Type Electronic Resources Journal mathematical problems in engineering Region hong kong (china)

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1. Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option.

Author

Wang, Huan, Song, Bin, and Guo, Dongmei

Subjects
*MAXIMUM likelihood statistics, *MATHEMATICAL models, *PRICING, *PARAMETER estimation
Abstract

This paper selects improved maximum likelihood method to conduct parameter estimation of Heston model, and results show that the share option pricing performance of Hang Seng Index is better and pricing error of at-the-money options is the smallest. By comparing parameter estimation of samples in different intervals, it has been found that parameter estimated results of two-year market data are obviously inferior to estimated effect of one-year data. [ABSTRACT FROM AUTHOR]

Published
2016
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