摘要
本文研究了波动率过程为Ornstein-Uhlenbeck过程,且波动率过程与股票价格过程的相关系数ρ可为[0,1]中的任一数的随机波动率模型参数估计.给出了OU过程的统计性质,并利用鞅极限理论给出模型中参数的估计式,证明估计量是具有渐进正态性从而是相合的.
In this paper, the problems of Ornstein-Uhlenbeck stochastic volatility model are studied. The parameters in the model are discussed. The martingale estimates of the reverting mean m, the reverting speed a, and the volatility β in the OU processes are given. The martingale estimates of the correlation coefficients ρ of the stock processes and the volatility processes in also obtained. The properties of the martingale estimates are discussed.
出处
《经济数学》
2007年第3期248-253,共6页
Journal of Quantitative Economics
基金
江苏省高校自然科学基金(06KJ110087)资助
关键词
随机波动率
OU模型
鞅估计
Martingale estimate, OU model, stochastic volatility model
