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

<table class="table-group" id="tab4"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left">Parameters</td><td class="align_center">Parameters estimation value</td><td class="align_center">Sensitivity of options price to parameters</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left"><span style="width: 6.71534ptpx;"><svg height="6.1673pt" id="M199" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 6.71534 6.1673" width="6.71534pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M484 406C484 429 465 448 438 448C400 448 352 405 302 356L156 213L191 373C195 391 197 404 197 416C197 436 191 448 178 448C151 448 83 406 23 350L37 328C67 350 101 369 109 369C114 369 115 362 111 344L29 -5L34 -12C63 -5 86 -1 111 3C124 73 137 138 147 161C165 180 189 202 206 217C215 194 249 111 275 57C304 -1 319 -12 342 -12C368 -12 405 -5 471 92L454 115C427 80 395 55 384 55C374 55 364 58 341 106L262 274C282 296 367 378 414 378C427 378 440 370 444 367C449 363 454 362 462 368C476 379 484 395 484 406Z" id="g113-232"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="507" vert-adv-y="507"></glyph.data></g></svg></span></td><td class="align_center">0.4264</td><td class="align_center">0.0264</td></tr><tr><td class="align_left"><span style="width: 6.63704ptpx;"><svg height="9.39034pt" id="M200" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 6.63704 9.39034" width="6.63704pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M478 372C478 418 458 448 431 448C409 448 389 431 389 410C389 404 391 400 394 395C398 388 406 371 406 348C406 253 308 122 251 51H249C254 122 249 257 231 336C212 421 189 448 159 448C126 448 75 412 23 327L48 306C83 354 103 371 115 371C125 371 134 360 144 334C185 224 192 64 183 -19C146 -100 116 -202 110 -244L125 -261C154 -259 208 -234 222 -220C222 -194 225 -84 235 -23C247 -3 273 36 308 79C379 165 478 288 478 372Z" id="g113-225"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="501" vert-adv-y="501"></glyph.data></g></svg></span></td><td class="align_center">0.0946</td><td class="align_center">0.0398</td></tr><tr><td class="align_left"><span style="width: 7.13289ptpx;"><svg height="9.39034pt" id="M201" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 7.13289 9.39034" width="7.13289pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M516 277C516 378 460 448 376 448C335 448 288 434 240 401C158 345 127 277 107 159C53 -161 38 -221 23 -247L28 -261C43 -260 95 -250 114 -226C122 -216 129 -199 146 -75C152 -29 157 0 164 31C182 9 206 -12 237 -12C267 -12 325 8 376 46C451 102 516 179 516 277ZM432 259C432 134 366 40 259 40C236 40 204 48 171 76L195 203C219 327 253 400 326 400C398 400 432 336 432 259Z" id="g113-239"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="539" vert-adv-y="539"></glyph.data></g></svg></span></td><td class="align_center">−0.6284</td><td class="align_center">0.0259</td></tr><tr><td class="align_left"><span style="width: 7.30254ptpx;"><svg height="9.49473pt" id="M202" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -9.28833 7.30254 9.49473" width="7.30254pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z" id="g113-233"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="552" vert-adv-y="552"></glyph.data></g></svg></span></td><td class="align_center">3.4543</td><td class="align_center">0.1089</td></tr><tr><td class="align_left"><span style="width: 7.47218ptpx;"><svg height="6.34998pt" id="M203" style="vertical-align:-0.2063899pt" version="1.1" viewbox="-0.0498162 -6.14359 7.47218 6.34998" width="7.47218pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M548 455L523 469C505 448 490 439 461 439C416 439 374 447 316 447C144 447 23 310 23 161C23 47 89 -12 179 -12C312 -12 429 106 429 244C429 303 419 344 368 386L371 388C404 383 440 378 474 378C507 378 530 411 548 455ZM350 274C350 191 308 25 198 25C144 25 108 75 108 157C108 264 170 395 276 395C296 395 320 384 333 360C347 334 350 316 350 274Z" id="g113-240"></path><glyph.data ascent="3473" descent="-2876" horiz-adv-x="565" vert-adv-y="565"></glyph.data></g></svg></span></td><td class="align_center">0.4822</td><td class="align_center">0.0551</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

Analysis of sensitivity of options price to parameters.

Mathematical Problems in Engineering

tab4

Table 4

Table 4: Improved Maximum Likelihood Estimation of Heston Model and Pricing Efficiency Test: Hong Kong Hang Seng Index Option 