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Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models

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  • Oguzhan Cepni
  • Ahmet Goncu
  • Mehmet Oguz Karahan
  • Tolga Umut Kuzubas

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File URL: http://www.econ.boun.edu.tr/public_html/RePEc/pdf/201316.pdf
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Paper provided by Bogazici University, Department of Economics in its series Working Papers with number 2013/16.

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Date of creation: 2013
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Handle: RePEc:bou:wpaper:2013/16
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  1. 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.
  2. 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.
  3. 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.
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Cited by:

  1. Olivia Andreea Baciu, 2015. "Generalized Hyperbolic Distributions: Empirical Evidence on Bucharest Stock Exchange," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(1), pages 007-018, June.

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