Application of Heston model and its solution to German DAX data

Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 236-239

  Remer, R ^a   Mahnke, R ^a  

^a UNIVERSITY OF ROSTOCK   (Germany)

Author keywords

Econophysics; Stochastic processes; Stochastic volatility models; Stock price dynamics

Indexed keywords

CORRELATION METHODS; DATA ACQUISITION; DATA REDUCTION; INTEGRATION; MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; WHITE NOISE;

ECONOPHYSICS; STOCHASTIC VOLATILITY MODELS; STOCK PRICE DYNAMICS;

INDUSTRIAL ECONOMICS;

EID: 5444223736     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.06.124     Document Type: Conference Paper

References (5)

1. J.P. Fouque, G. Papanicolaou, K.R. Sircar, Derivatives in Financial Markets with Stochastic Volatility, Cambridge University Press, Cambridge, 2000.
2. Karlsruher Kapitalmarktdatenbank, DAX and its Stock Prices, Universität Karlsruhe, 2002.
3. A.A. Drǎgulescu, V.M. Yakovenko, Quant. Finance 2 (2002) 443.
4. S.L. Heston, Rev. Financial Stud. 6 (1993) 327.
5. I.S. Gradstein, I.M. Ryshik, Tables of Series, Products and Integrals, vol. I, Verlag Harri Deutsch, Thun, Frankfurt/Main, 1981.