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

Civil Engineering

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