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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory.

Francesca MarianiGraziella PacelliFrancesco Zirilli
Published in: Optim. Lett. (2008)
Keyphrases
  • maximum likelihood estimation
  • em algorithm
  • parameter estimation
  • probabilistic model
  • probability distribution
  • maximum likelihood
  • image segmentation
  • higher order
  • nonlinear filtering