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

Physica A: Statistical Mechanics and its Applications

Volumn 324, Issue 1-2, 2003, Pages 303-310

  Silva, A Christian ^a   Yakovenko, Victor M ^a  

^a Bldg 142   (United States)

Author keywords

Econophysics; Heston; Stochastic volatility; Stock market returns

Indexed keywords

DATA REDUCTION; INVENTORY CONTROL; PROBABILITY DISTRIBUTIONS; RANDOM PROCESSES; STATISTICAL METHODS;

EMPIRICAL DATA;

FINANCIAL DATA PROCESSING;

EID: 0037562147     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01903-9     Document Type: Conference Paper

References (6)

1. J.P. Fouque, G. Papanicolaou, K.R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge, 2000; Int. J. Theor. Appl. Finance 3 (2000) 101.
2. J.P. Fouque, G. Papanicolaou, K.R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge, 2000; Int. J. Theor. Appl. Finance 3 (2000) 101.
3. Heston S.L. Rev. Financial Stud. 6:1993;327.
4. A. Dragulescu, V.M. Yakovenko, preprint http://lanl.arXiv.org/abs/cond-mat/0203046, Quantitative Finance 2 (2002).
5. Gardiner C.W. Handbook of Stochastic Methods for Physics, Chemistry, and the Natural Sciences. 1993;Springer, Berlin.
6. Yahoo Finance, http://finance.yahoo.com/. The data were downloaded for ̌DJI (Dow-Jones), ̌GSPC (S&P500), and ̌IXIC (Nasdaq).