[R-SIG-Finance] Estimating Heston model

jun wang junluke at gmail.com
Wed Jul 1 20:37:03 CEST 2015

Dear all,

Can anybody provide some hints/examples to estimate Heston models in R?
The stochvol can only estimate the the level of log-variance µ, the
persistence of log-variance φ, and the volatility of log-variance. How can
i estimate the leverage effect parameter?

Any help would be appreciated.


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