摘要(英) |
In this paper, we want to know if the financial market stock
price trend to follow Heston model, we can estimate the parameters
by stock price data when the volatility is assumed to be observable,
and while the volatility does not observed, we can use option data to
deal with that, then use stock and option data to estimate the
parameters. In this paper, we have two methods to estimate the
parameters: one method only stock information, the assumption that
volatility is to be observed; method 2 is the assumption that
volatility is not observable, we use options data instead of using
conversion can not see the volatility to estimate the parameters. We
would like to know the difference between the estimation accuracy
of the theoretical exact value. In order to count the value of this
theory, we use the maximum likelihood estimator(MLE) to estimate
the parameters of the stochastic volatility model in the consistency
of MLE estimation. We also use the Monte Carlo simulation and the
papametric bootstrap method of repeated sampling to compare the
results.
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參考文獻 |
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