hestonLogLikelihood: Quasi log-likelihood function for Heston model

In shill1729/findistr: Common distributions used in finance

Quasi log-likelihood function for Heston model

Description

The log-likelihood function of the Heston model, computed using Bayesian recursion.

Usage

hestonLogLikelihood(p, y, v, h = 1/252)

Arguments

p	vector of parameters, see details
y	time-series of log-price increments
v	time-series of volatility
h	the time-step

Details

The argument p must be a vector whose entries represent in order, (\kappa, \theta, \xi, \mu), the mean-reversion speed, mean-reversion level, the vol-of-vol, and mean-drift of the stock price.

Value

numeric

shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.