Francesca Mariani, Graziella Pacelli, Francesco Zirilli. Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory. Optimization Letters, 2(2):177-222, 2008. [doi]
@article{MarianiPZ08,
title = {Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory},
author = {Francesca Mariani and Graziella Pacelli and Francesco Zirilli},
year = {2008},
doi = {10.1007/s11590-007-0052-7},
url = {http://dx.doi.org/10.1007/s11590-007-0052-7},
researchr = {https://researchr.org/publication/MarianiPZ08},
cites = {0},
citedby = {0},
journal = {Optimization Letters},
volume = {2},
number = {2},
pages = {177-222},
}