Least squares estimation for the subcritical Heston model based on continuous time observations

TL;DR

This paper establishes the strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model using continuous time data, supported by numerical examples.

Contribution

It provides the first rigorous proof of the statistical properties of least squares estimators for the subcritical Heston model.

Findings

Proved strong consistency of estimators

Established asymptotic normality

Included numerical illustrations

Abstract

We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numerical illustrations of our results.