Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations
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| Format: | Preprint |
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2025
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| _version_ | 1866909468908847104 |
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| author | Alaya, Mohamed Ben Dahbi, Houssem Fathallah, Hamdi |
| author_facet | Alaya, Mohamed Ben Dahbi, Houssem Fathallah, Hamdi |
| contents | The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global parameter estimations in this model. Our main stochastic results are about the stationarity and the ergodicity of the double Heston process. The statistical part of this paper is about the maximum likelihood and the conditional least squares estimations based on continuous-time observations; then for each estimation method, we study the asymptotic properties of the resulted estimators in the ergodic case. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_17100 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations Alaya, Mohamed Ben Dahbi, Houssem Fathallah, Hamdi Statistics Theory Computation The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global parameter estimations in this model. Our main stochastic results are about the stationarity and the ergodicity of the double Heston process. The statistical part of this paper is about the maximum likelihood and the conditional least squares estimations based on continuous-time observations; then for each estimation method, we study the asymptotic properties of the resulted estimators in the ergodic case. |
| title | Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations |
| topic | Statistics Theory Computation |
| url | https://arxiv.org/abs/2501.17100 |