Implied higher order moments in the Heston model : a case study of S&P 500 index
Farshid Mehrdoust, Idin Noorani
| Year of publication: |
2023
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|---|---|
| Authors: | Mehrdoust, Farshid ; Noorani, Idin |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 46.2023, 2, p. 477-504
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| Subject: | Calibration | Heston model | Higher order moments | VIX index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-023-00396-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014443752