Abstract. We study asymptotic properties of some (essentially conditional least squares) parameter estimators for the subcritical Heston model based on discrete time observations derived from conditional least squares estimators of some modified parameters.

DOI: 10.14232/actasm-015-016-0

AMS Subject Classification (1991): 91G70, 60H10, 62F12, 60F05

Keyword(s): Heston model, conditional least squares estimation

Received February 23, 2015, and in revised form October 24, 2015. (Registered under 16/2015.)