Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option
Joint Authors
Guo, Dongmei
Wang, Huan
Song, Bin
Source
Mathematical Problems in Engineering
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-08-07
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper selects improved maximum likelihood method to conduct parameter estimation of Heston model, and results show that the share option pricing performance of Hang Seng Index is better and pricing error of at-the-money options is the smallest.
By comparing parameter estimation of samples in different intervals, it has been found that parameter estimated results of two-year market data are obviously inferior to estimated effect of one-year data.
American Psychological Association (APA)
Wang, Huan& Song, Bin& Guo, Dongmei. 2016. Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option. Mathematical Problems in Engineering،Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1112587
Modern Language Association (MLA)
Wang, Huan…[et al.]. Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option. Mathematical Problems in Engineering No. 2016 (2016), pp.1-9.
https://search.emarefa.net/detail/BIM-1112587
American Medical Association (AMA)
Wang, Huan& Song, Bin& Guo, Dongmei. Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option. Mathematical Problems in Engineering. 2016. Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1112587
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1112587