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Goodness-of-fit of the Heston model

Author

Listed:
  • Nathan L. Joseph
  • Gilles Daniel
  • David S. Bree
Abstract
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Suggested Citation

  • Nathan L. Joseph & Gilles Daniel & David S. Bree, 2003. "Goodness-of-fit of the Heston model," Computing in Economics and Finance 2003 281, Society for Computational Economics.
    • Handle: RePEc:sce:scecf3:281
    as

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    File URL: http://www.cs.man.ac.uk/~dbree/goodness-of-fit-Heston-Model.pdf
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    References listed on IDEAS

    as
    1. Adrian Dragulescu & Victor Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 443-453.
    2. M. F. M. Osborne, 1959. "Brownian Motion in the Stock Market," Operations Research, INFORMS, vol. 7(2), pages 145-173, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
    2. Gilles Daniel & Nathan Joseph & David Bree, 2005. "Stochastic volatility and the goodness-of-fit of the Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 199-211.
    3. Dolgov, Urij, 2015. "Calibration of Heston's stochastic volatility model to an empirical density using a genetic algorithm," Forschung am ivwKöln 3/2015, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.

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    More about this item

    Keywords

    Stock markets; Stochastic volatility; Heston model;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

    NEP fields

    This paper has been announced in the following NEP Reports:

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