The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Year of publication: |
2022
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Authors: | Boukai, Benzion |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 6, Art.-No. 238, p. 1-18
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Subject: | calibration | heston model | market data (SPY; QQQ; IWM; TLT) | negatively skewed distribution | option pricing | risk-neutral valuation | volatility skew | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm15060238 [DOI] hdl:10419/274760 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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