Published / Preprint: Maximum likelihood estimators for a jump-type Heston model. (arXiv:1509.08869v1 [math.ST])

We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and asymptotic normality for all admissible parameter values except one, where we show only weak consistency and non-normal asymptotic behavior. We also present some simulations to illustrate our results.