Probability distribution of returns in the Heston model with stochastic volatility
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Dragulescu, A. ; Yakovenko, V. M. |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | stock market | stochastic variables | differential equations |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 127 |
| Classification: | G10 - General Financial Markets. General ; C32 - Time-Series Models |
| Source: |
Persistent link: https://www.econbiz.de/10005706612