ModelB6: Compute the maximum likelihood estimate of Model B6

In mfrdixon/MLEMVD: Maximum Likelihood Estimation for Diffusion Equations

Description

x1 is the log of the stock price, x2 the instantaneous variance.

Usage

ModelB6(x, x0, del, param)

Arguments

x	Observation of the state variable at time t
x0	Observation of the state variable at time t-1
del	The time step between the current and previous observation
param	The parameter 5-vector (m, a, b, s, r):

Details

dx1 <- (m - x2/2) dt + sqrt(x2) dW1 dx2 <- (a - b x2) dt + s sqrt(1-r^2) Sqrt(x2) dW1 + s r sqrt(x2) dW2

Examples

ModelB6(0.4,0.3,0.1,c(0.1,0.2,0.3,0.3,-0.2))

mfrdixon/MLEMVD documentation built on May 22, 2019, 8:52 p.m.