Inference and hedging of the Heston model under P (a simulation study)
The purpose of this thesis is to estimate the parameters in a stochastic volatility model in order to hedge derivatives based on underlying assets under the real probabilities as opposed to the standard method of esti- mating them under the risk neutral probabilities. We choose a common and reasonable but not to complex model of stock prices and other traded nancial assets, the Heston model, as we