Bedoui, Rihab; Hamdi, Haykel - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2010
Heston models are more in line and have heavier tails than the log-normal distribution. Moreover, according to the goodness …-before the crisis for relatively short maturities. However, during this same period, the mixture of log-normal models performs …