Laboratoire de Mathématiques Raphaël Salem

UMR 6085 CNRS - Université de Rouen Normandie

The work deals with the problem of global parameter estimation of affine diffusions in R_+ × 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. 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.