<?xml version="1.0" encoding="utf-8"?>
<TEI xmlns="http://www.tei-c.org/ns/1.0" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:hal="http://hal.archives-ouvertes.fr/" xmlns:gml="http://www.opengis.net/gml/3.3/" xmlns:gmlce="http://www.opengis.net/gml/3.3/ce" version="1.1" xsi:schemaLocation="http://www.tei-c.org/ns/1.0 http://api.archives-ouvertes.fr/documents/aofr-sword.xsd">
  <teiHeader>
    <fileDesc>
      <titleStmt>
        <title>HAL TEI export of hal-04918344</title>
      </titleStmt>
      <publicationStmt>
        <distributor>CCSD</distributor>
        <availability status="restricted">
          <licence target="https://creativecommons.org/publicdomain/zero/1.0/">CC0 1.0 - Universal</licence>
        </availability>
        <date when="2026-05-16T14:15:50+02:00"/>
      </publicationStmt>
      <sourceDesc>
        <p part="N">HAL API Platform</p>
      </sourceDesc>
    </fileDesc>
  </teiHeader>
  <text>
    <body>
      <listBibl>
        <biblFull>
          <titleStmt>
            <title xml:lang="en">Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations</title>
            <author role="aut">
              <persName>
                <forename type="first">Mohamed</forename>
                <forename type="middle">Ben</forename>
                <surname>Alaya</surname>
              </persName>
              <email type="md5">37f8d9ae807a0b7332b365acc9768db3</email>
              <email type="domain">univ-rouen.fr</email>
              <idno type="idhal" notation="string">mohamed-ben-alaya</idno>
              <idno type="idhal" notation="numeric">176446</idno>
              <idno type="halauthorid" notation="string">2693935-176446</idno>
              <idno type="IDREF">https://www.idref.fr/069083045</idno>
              <idno type="ORCID">https://orcid.org/0009-0004-8086-8703</idno>
              <idno type="VIAF">https://viaf.org/viaf/278144647711209794594</idno>
              <idno type="ISNI">http://isni.org/isni/0000000432279747</idno>
              <affiliation ref="#struct-91"/>
            </author>
            <author role="crp">
              <persName>
                <forename type="first">Houssem</forename>
                <surname>Dahbi</surname>
              </persName>
              <email type="md5">9c3b96de2b7ba5ddb6b976bd0c989e5e</email>
              <email type="domain">univ-rouen.fr</email>
              <idno type="idhal" notation="numeric">1237248</idno>
              <idno type="halauthorid" notation="string">2741200-1237248</idno>
              <affiliation ref="#struct-91"/>
              <affiliation ref="#struct-1059834"/>
            </author>
            <author role="aut">
              <persName>
                <forename type="first">Hamdi</forename>
                <surname>Fathallah</surname>
              </persName>
              <email type="md5">9d524bb02018bb19f6c8b48fddd8251e</email>
              <email type="domain">essths.u-sousse.tn</email>
              <idno type="idhal" notation="string">hamdi-fathallah</idno>
              <idno type="idhal" notation="numeric">1087018</idno>
              <idno type="halauthorid" notation="string">148548-1087018</idno>
              <idno type="IDREF">https://www.idref.fr/143296523</idno>
              <idno type="VIAF">https://viaf.org/viaf/198969657</idno>
              <idno type="ISNI">http://isni.org/isni/0000000357538269</idno>
              <idno type="GOOGLE SCHOLAR">https://scholar.google.fr/citations?user=gViMMbAAAAAJ</idno>
              <idno type="ORCID">https://orcid.org/0000-0002-1048-3187</idno>
              <affiliation ref="#struct-1059834"/>
            </author>
            <editor role="depositor">
              <persName>
                <forename>Houssem</forename>
                <surname>DAHBI</surname>
              </persName>
              <email type="md5">9c3b96de2b7ba5ddb6b976bd0c989e5e</email>
              <email type="domain">univ-rouen.fr</email>
            </editor>
          </titleStmt>
          <editionStmt>
            <edition n="v1" type="current">
              <date type="whenSubmitted">2025-01-29 10:02:06</date>
              <date type="whenModified">2025-05-28 15:30:14</date>
              <date type="whenReleased">2025-02-03 15:50:16</date>
              <date type="whenProduced">2025-01-29</date>
              <date type="whenEndEmbargoed">2025-01-29</date>
              <ref type="file" target="https://hal.science/hal-04918344v1/document">
                <date notBefore="2025-01-29"/>
              </ref>
              <ref type="file" subtype="author" n="1" target="https://hal.science/hal-04918344v1/file/Asymptotic_properties_and_drift_parameter_estimations_of_the_ergodic_AD%20%289%29.pdf" id="file-4918344-4269609">
                <date notBefore="2025-01-29"/>
              </ref>
            </edition>
            <respStmt>
              <resp>contributor</resp>
              <name key="1369438">
                <persName>
                  <forename>Houssem</forename>
                  <surname>DAHBI</surname>
                </persName>
                <email type="md5">9c3b96de2b7ba5ddb6b976bd0c989e5e</email>
                <email type="domain">univ-rouen.fr</email>
              </name>
            </respStmt>
          </editionStmt>
          <publicationStmt>
            <distributor>CCSD</distributor>
            <idno type="halId">hal-04918344</idno>
            <idno type="halUri">https://hal.science/hal-04918344</idno>
            <idno type="halBibtex">alaya:hal-04918344</idno>
            <idno type="halRefHtml">2025</idno>
            <idno type="halRef">2025</idno>
            <availability status="restricted">
              <licence target="https://about.hal.science/hal-authorisation-v1/">HAL Authorization<ref corresp="#file-4918344-4269609"/></licence>
            </availability>
          </publicationStmt>
          <seriesStmt>
            <idno type="stamp" n="CNRS">CNRS - Centre national de la recherche scientifique</idno>
            <idno type="stamp" n="LMRS">Laboratoire de Mathématiques Raphaël Salem</idno>
            <idno type="stamp" n="INSMI">CNRS-INSMI - INstitut des Sciences Mathématiques et de leurs Interactions</idno>
            <idno type="stamp" n="COMUE-NORMANDIE">Normandie Université</idno>
            <idno type="stamp" n="UNIROUEN">Université de Rouen Normandie</idno>
          </seriesStmt>
          <notesStmt/>
          <sourceDesc>
            <biblStruct>
              <analytic>
                <title xml:lang="en">Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations</title>
                <author role="aut">
                  <persName>
                    <forename type="first">Mohamed</forename>
                    <forename type="middle">Ben</forename>
                    <surname>Alaya</surname>
                  </persName>
                  <email type="md5">37f8d9ae807a0b7332b365acc9768db3</email>
                  <email type="domain">univ-rouen.fr</email>
                  <idno type="idhal" notation="string">mohamed-ben-alaya</idno>
                  <idno type="idhal" notation="numeric">176446</idno>
                  <idno type="halauthorid" notation="string">2693935-176446</idno>
                  <idno type="IDREF">https://www.idref.fr/069083045</idno>
                  <idno type="ORCID">https://orcid.org/0009-0004-8086-8703</idno>
                  <idno type="VIAF">https://viaf.org/viaf/278144647711209794594</idno>
                  <idno type="ISNI">http://isni.org/isni/0000000432279747</idno>
                  <affiliation ref="#struct-91"/>
                </author>
                <author role="crp">
                  <persName>
                    <forename type="first">Houssem</forename>
                    <surname>Dahbi</surname>
                  </persName>
                  <email type="md5">9c3b96de2b7ba5ddb6b976bd0c989e5e</email>
                  <email type="domain">univ-rouen.fr</email>
                  <idno type="idhal" notation="numeric">1237248</idno>
                  <idno type="halauthorid" notation="string">2741200-1237248</idno>
                  <affiliation ref="#struct-91"/>
                  <affiliation ref="#struct-1059834"/>
                </author>
                <author role="aut">
                  <persName>
                    <forename type="first">Hamdi</forename>
                    <surname>Fathallah</surname>
                  </persName>
                  <email type="md5">9d524bb02018bb19f6c8b48fddd8251e</email>
                  <email type="domain">essths.u-sousse.tn</email>
                  <idno type="idhal" notation="string">hamdi-fathallah</idno>
                  <idno type="idhal" notation="numeric">1087018</idno>
                  <idno type="halauthorid" notation="string">148548-1087018</idno>
                  <idno type="IDREF">https://www.idref.fr/143296523</idno>
                  <idno type="VIAF">https://viaf.org/viaf/198969657</idno>
                  <idno type="ISNI">http://isni.org/isni/0000000357538269</idno>
                  <idno type="GOOGLE SCHOLAR">https://scholar.google.fr/citations?user=gViMMbAAAAAJ</idno>
                  <idno type="ORCID">https://orcid.org/0000-0002-1048-3187</idno>
                  <affiliation ref="#struct-1059834"/>
                </author>
              </analytic>
              <monogr>
                <imprint>
                  <date type="datePub">2025-01-29</date>
                </imprint>
              </monogr>
            </biblStruct>
          </sourceDesc>
          <profileDesc>
            <langUsage>
              <language ident="en">English</language>
            </langUsage>
            <textClass>
              <keywords scheme="author">
                <term xml:lang="en">Double Heston model</term>
                <term xml:lang="en">Stochastic volatility</term>
                <term xml:lang="en">Affine diffusion</term>
                <term xml:lang="en">Classification</term>
                <term xml:lang="en">Stationarity</term>
                <term xml:lang="en">Ergodicity</term>
                <term xml:lang="en">Maximum liklelihood estimation</term>
                <term xml:lang="en">Conditional least squares estimation</term>
                <term xml:lang="en">Continuous-time observations</term>
                <term xml:lang="en">Asymptotic behavior</term>
                <term xml:lang="en">Numerical illustration</term>
              </keywords>
              <classCode scheme="halDomain" n="math">Mathematics [math]</classCode>
              <classCode scheme="halTypology" n="UNDEFINED">Preprints, Working Papers, ...</classCode>
              <classCode scheme="halOldTypology" n="UNDEFINED">Preprints, Working Papers, ...</classCode>
              <classCode scheme="halTreeTypology" n="UNDEFINED.PREPRINT">Preprints, Working Papers, ... - Preprint</classCode>
            </textClass>
            <abstract xml:lang="en">
              <p>The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calibration. This paper deals with the problem of global parameter estimations in this model. Our main stochastic results are about the stationarity and the ergodicity of the double Heston process. The statistical part of this paper is about the maximum likelihood and the conditional least squares estimations based on continuous-time observations; then for each estimation method, we study the asymptotic properties of the resulted estimators in the ergodic case.</p>
            </abstract>
          </profileDesc>
        </biblFull>
      </listBibl>
    </body>
    <back>
      <listOrg type="structures">
        <org type="laboratory" xml:id="struct-91" status="VALID">
          <idno type="IdRef">157678296</idno>
          <idno type="RNSR">200012167E</idno>
          <idno type="ROR">https://ror.org/01k1v7590</idno>
          <orgName>Laboratoire de Mathématiques Raphaël Salem</orgName>
          <orgName type="acronym">LMRS</orgName>
          <date type="start">2000-01-01</date>
          <desc>
            <address>
              <addrLine>Avenue de l'université BP 12 76801 Saint-Étienne-du-Rouvray</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.univ-rouen.fr/LMRS</ref>
          </desc>
          <listRelation>
            <relation active="#struct-300318" type="direct"/>
            <relation active="#struct-455934" type="indirect"/>
            <relation name="UMR6085" active="#struct-441569" type="direct"/>
          </listRelation>
        </org>
        <org type="laboratory" xml:id="struct-1059834" status="VALID">
          <orgName>Laboratoire de Mathématiques Modélisation Déterministe et Aléatoire</orgName>
          <orgName type="acronym">LAMMDA</orgName>
          <desc>
            <address>
              <addrLine>ESSTHS, Rue Lamine Abassi</addrLine>
              <country key="TN"/>
            </address>
            <ref type="url">https://www.lammda-univ-sousse.tn/</ref>
          </desc>
          <listRelation>
            <relation active="#struct-301055" type="direct"/>
          </listRelation>
        </org>
        <org type="institution" xml:id="struct-300318" status="VALID">
          <idno type="IdRef">026403919</idno>
          <idno type="ISNI">0000000121083034</idno>
          <idno type="ROR">https://ror.org/03nhjew95</idno>
          <orgName>Université de Rouen Normandie</orgName>
          <orgName type="acronym">UNIROUEN</orgName>
          <date type="start">1966-01-01</date>
          <desc>
            <address>
              <addrLine>1, rue Thomas Becket 76821 Mont-Saint-Aignan Cedex</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.univ-rouen.fr/</ref>
          </desc>
          <listRelation>
            <relation active="#struct-455934" type="direct"/>
          </listRelation>
        </org>
        <org type="regroupinstitution" xml:id="struct-455934" status="VALID">
          <idno type="IdRef">190906332</idno>
          <idno type="ISNI">0000000417859671 </idno>
          <idno type="ROR">https://ror.org/01k40cz91</idno>
          <orgName>Normandie Université</orgName>
          <orgName type="acronym">NU</orgName>
          <date type="start">2015-01-01</date>
          <desc>
            <address>
              <addrLine>Esplanade de la Paix - CS 14032 - 14032 Caen Cedex 5</addrLine>
              <country key="FR"/>
            </address>
            <ref type="url">http://www.normandie-univ.fr/</ref>
          </desc>
        </org>
        <org type="regroupinstitution" xml:id="struct-441569" status="VALID">
          <idno type="IdRef">02636817X</idno>
          <idno type="ISNI">0000000122597504</idno>
          <idno type="ROR">https://ror.org/02feahw73</idno>
          <orgName>Centre National de la Recherche Scientifique</orgName>
          <orgName type="acronym">CNRS</orgName>
          <date type="start">1939-10-19</date>
          <desc>
            <address>
              <country key="FR"/>
            </address>
            <ref type="url">https://www.cnrs.fr/</ref>
          </desc>
        </org>
        <org type="institution" xml:id="struct-301055" status="VALID">
          <idno type="IdRef">139430016</idno>
          <idno type="ISNI">0000000121144570</idno>
          <idno type="ROR">https://ror.org/00dmpgj58</idno>
          <idno type="Wikidata">Q3551673</idno>
          <orgName>جامعة سوسة = Université de Sousse = University of Sousse</orgName>
          <orgName type="acronym">USO</orgName>
          <date type="start">2004-01-01</date>
          <desc>
            <address>
              <addrLine>Rue khalifa karoui sahloul4 sousse</addrLine>
              <country key="TN"/>
            </address>
            <ref type="url">https://uso.rnu.tn/</ref>
          </desc>
        </org>
      </listOrg>
    </back>
  </text>
</TEI>