Boukai, Benzion - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-18
We present the Generalized Gamma (GG) distribution as a possible risk neutral distribution (RND) for modeling European options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this distribution, which is a member of the...