Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option

Table 1

Heston model estimation values and standard deviation of at-the-money call option and two out-of-the-money options based on three-month duration.

Heston model parameters	Parameter estimation values	Standard deviation	Parameter estimation value	Standard deviation	Parameter estimation value	Standard deviation
	0.4264	0.2784	0.4373	0.2086	0.4459	0.2113
	0.0946	0.0181	0.0915	0.0163	0.0909	0.0168
	−0.6284	0.0867	−0.7011	0.0715	−0.6812	0.0790
	3.4543	3.0332	3.4280	2.9312	3.3788	2.7003
	0.4822	0.0433	0.3565	0.0333	0.3421	0.0315