most citedComparison between the probability distribution of returns in the Heston model and empirical data for stock indexes

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cond-mat.str-el2002★ 70 cited

Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes

A. Christian Silva, Victor M. Yakovenko

We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulesc…