Testing Heston Model Consistency and Evaluation of Parameters Thought Representation in Discrete Time

APLIMAT 2011: 10th International Conference 2011
Jegors Fjodorovs, Andrejs Matvejevs, Oksana Pavļenko

A methodology for the estimation of parameter of a stochastic model using discontinuous models (ARIMA class) and based on the financial market data is introduced. This approach helps to simplify financial derivative pricing problems under various underlying stochastic processes. We show how to apply our technique to the financial index VIX - a market mechanism that measures the 30-day forward implied volatility of the underlying index, the S&P 500. Also the results with regression model of time series which produced by Heston volatility model are considered.

Atslēgas vārdi
diffusion processes, time series, VIX index, CIR model, Heston model, ARIMA, ARCH.
Hipersaite
http://archiv.aplimat.com/2011/General_Information/proceedings.html

Fjodorovs, J., Matvejevs, A., Pavļenko, O. Testing Heston Model Consistency and Evaluation of Parameters Thought Representation in Discrete Time. No: APLIMAT 2011: 10th International Conference, Slovākija, Bratislava, 1.-4. februāris, 2011. Bratislava: Slovak University of Technology, 2011, 265.-272.lpp. ISBN 978-80-89313-51-8.

Publikācijas valoda
English (en)