The 8th Edition of the International Conference on Research in Applied Mathematics and Computer Science>

List of Communications > Rafik Mohamed

Robust Heston Calibration in Regimes of Extreme Volatility: Overcoming Feller Condition Violations in Bitcoin Modeling
Mohamed Rafik  1, @  , Youness El Ansari  2, @  
1 : Faculty of Science, Ibn Zohr University, Agadir, Morocco
2 : Laboratoire Image et Reconnaissance de Formes Systèmes Intelligents et Communicants  (IRF-SIC)
Faculté des Sciences Agadir -  Morocco
Subject : : Abstract
Topics : Applied Mathematics to Economics and Finance
Keywords : Stochastic Volatility ; Heston Model ; Quasi ; Maximum Likelihood ; Strong Consistency ; Martingale Theory ; Bitcoin ; Feller Condition.
PDF version :  PDF version
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