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arXiv · 2303.08467

Asymptotic properties of AD(1, n) model and its maximum likelihood estimator

Mohamed Ben Alaya·Houssem Dahbi·Hamdi Fathallah
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Abstract

This paper deals with the problem of global parameter estimation of affine diffusions in $\mathbb{R}_+ \times \mathbb{R}^n$ denoted by $AD(1, n)$ where $n$ is a positive integer which is a subclass of affine diffusions introduced by Duffie et al in [14]. The $AD(1, n)$ model can be applied to the pricing of bond and stock options, which is illustrated for the Vasicek, Cox-Ingersoll-Ross and Heston models. Our first result is about the classification of $AD(1, n)$ processes according to the subcritical, critical and supercritical cases. Then, we give the stationarity and the ergodicity theorems of this model and we establish asymptotic properties for the maximum likelihood estimator in both subcritical and a special supercritical cases.

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Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah. 2023-03-15. Asymptotic properties of AD(1, n) model and its maximum likelihood estimator. https://arxiv.org/abs/2303.08467

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