ModelHeston: Compute the maximum likelihood estimate of the Heston model

In mfrdixon/MLEMVD: Maximum Likelihood Estimation for Diffusion Equations

Description

Heston model: dln(S_t) = (μ - σ^2/2) dt + √{V_t}dW_t^{1} dV_t = κ(θ - V_t)dt + σ √{V_t}dW_t^{2} 4 parameters to be estimated: (rho, kappa, theta, sigma)

Usage

ModelHeston(x, x0, del, param, args = NULL)

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 4-vector (rho,kappa>0,theta>0,sigma>0)
args	Optional additional arguments

Examples

## Not run: 
ModelHeston(0.4,0.3,0.1,c(0.1,0.3,0.2,0.1))

## End(Not run)

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