Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models
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| Length: | |
| Date of creation: | 2013 |
| Handle: | RePEc:bou:wpaper:2013/16 |
| Contact details of provider: | Postal: Natuk Birkan Hall, Bebek, 34342 İstanbul Phone: +90 (212) 359-6505 Fax: +90 (212) 287-2453 Web page: http://www.econ.boun.edu.tr/ Email: More information through EDIRC
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References listed on IDEAS
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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.
- Adrian A. Dragulescu & Victor M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Papers cond-mat/0203046, arXiv.org, revised Nov 2002.
- Elton A. Daal & Dilip B. Madan, 2005. "An Empirical Examination of the Variance-Gamma Model for Foreign Currency Options," The Journal of Business, University of Chicago Press, vol. 78(6), pages 2121-2152, November. Full references (including those not matched with items on IDEAS)
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