Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations
基于连续时间观测的遍历双 Heston 模型:渐近性质与漂移参数估计
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…