3 citations · 5 across the 7 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
q-fin.CP2021
The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Ben Boukai
Following Boukai (2021) we present the Generalized Gamma (GG) distribution as a possible RND for modeling European options prices under Heston's (1993) stochastic volatility (SV) m…
q-fin.PR2021★ 1 cited
On the RND under Heston's stochastic volatility model
Ben Boukai
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form solutions are available and are given in terms of characterist…