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calibration
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heston model
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negatively skewed distribution
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option pricing
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risk-neutral valuation
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TLT)
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Boukai, Benzion
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The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Boukai, Benzion
- In:
Journal of Risk and Financial Management
15
(
2022
)
6
,
pp. 1-18
), namely the SPY, IWM and
QQQ
as well as on the TLT (an ETF that tracks an index of long-term US Treasury bonds). As of the …
Persistent link: https://www.econbiz.de/10014332439
Saved in:
2
The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Boukai, Benzion
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
6
,
pp. 1-18
), namely the SPY, IWM and
QQQ
as well as on the TLT (an ETF that tracks an index of long-term US Treasury bonds). As of the …
Persistent link: https://www.econbiz.de/10013273577
Saved in:
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