hestonParticleFilter: Particle filter for filtering volatility in the Heston model

In shill1729/findistr: Common distributions used in finance

Particle filter for filtering volatility in the Heston model

Description

Sequential importance (re)-sampling implementation of the particle method to estimate the hidden volatility of a Heston model.

Usage

hestonParticleFilter(y, param, N, nthresh, h = 1/252)

Arguments

y	time-series of log-price increments
param	vector of parameters defining Heston dynamics, see details
N	number of particles to use
nthresh	threshold of particles to use
h	the time-step to use

Details

The argument param 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. The algorithm's details are on Wikipedia.

Value

vector/numeric

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