Estimation and empirical performance of Heston's stochastic volatility model: The case of a thinly traded market

Journal of Empirical Finance

Volumn 9, Issue 2, 2002, Pages 225-255

  Fiorentini, Gabriele ^a   León, Angel ^a   Rubio, Gonzalo ^b  

^a UNIVERSITY OF ALICANTE   (Spain)

^b UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

Author keywords

Kurtosis; Pricing; Skewness; Stochastic; Volatility

Indexed keywords

EID: 0036190391     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00052-4     Document Type: Article

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