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Subject
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calibration 2 heston model 2 negatively skewed distribution 2 option pricing 2 risk-neutral valuation 2 volatility skew 2 IWM 1 Option pricing theory 1 Optionspreistheorie 1 QQQ 1 Statistical distribution 1 Statistische Verteilung 1 Stochastic process 1 Stochastischer Prozess 1 TLT) 1 Volatility 1 Volatilität 1 market data (SPY 1 market data (SPY; QQQ; IWM; TLT) 1
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Free 2 CC license 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Boukai, Benzion 2
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Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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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
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Cover Image
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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