Ortiz-Ramírez, Ambrosio.; Venegas-Martínez, Francisco.; … - In: El Trimestre Económico LXXXI (4) (2014) 324, pp. 943-988
This paper proposes a methodology to estimate the parameters of the stochastic volatility model from Heston (1993) through quadratic loss functions, which minimize the error between market prices and theoretical prices. To do this, three classes of loss functions are stated, two of which...