Probability distribution of returns in the Heston model with stochastic volatility
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- Adrian Dragulescu & Victor Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 443-453.
- A. Dragulescu & V. M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Computing in Economics and Finance 2002 127, Society for Computational Economics.
More about this item
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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