IDEAS home Printed from https://ideas.repec.org/p/sce/scecf3/281.html
   My bibliography  Save this paper

Goodness-of-fit of the Heston model

Author

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

Abstract

No abstract is available for this item.

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

    Download full text from publisher

    File URL: http://www.cs.man.ac.uk/~dbree/goodness-of-fit-Heston-Model.pdf
    File Function: main text
    Download Restriction: no
    ---><---

    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.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
    2. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011. "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series 295, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Trenca I. Ioan & Zoicas - Ienciu Adrian, 2008. "Stock returns and their probabilistic distribution (the Bucharest Stock Exchange case)," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 860-865, May.
    4. Álvaro Cartea & Thilo Meyer-Brandis, 2010. "How Duration Between Trades of Underlying Securities Affects Option Prices," Review of Finance, European Finance Association, vol. 14(4), pages 749-785.
    5. Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
    6. Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(1), pages 2-42.
    7. Vasile Brătian & Ana-Maria Acu & Camelia Oprean-Stan & Emil Dinga & Gabriela-Mariana Ionescu, 2021. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion," Mathematics, MDPI, vol. 9(22), pages 1-20, November.
    8. Adam Karp & Gary Van Vuuren, 2019. "Investment Implications Of The Fractal Market Hypothesis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-27, March.
    9. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
    10. Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J., 2014. "Option pricing under stochastic volatility and tempered stable Lévy jumps," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 101-108.
    11. Jiong Liu & R. A. Serota, 2023. "Rethinking Generalized Beta family of distributions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 96(2), pages 1-14, February.
    12. M. Dashti Moghaddam & Jiong Liu & R. A. Serota, 2021. "Implied and realized volatility: A study of distributions and the distribution of difference," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2581-2594, April.
    13. Didenko Alexander & Dubovikov Mikhail & Poutko Boris, 2015. "Forecasting coherent volatility breakouts," Вестник Финансового университета, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 1 (85), pages 30-36.
    14. Philip Stahl, 2022. "Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index," Review of Derivatives Research, Springer, vol. 25(3), pages 315-339, October.
    15. Kristýna Ivanková, 2010. "Isobars and the Efficient Market Hypothesis," Working Papers IES 2010/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
    16. Tan, Baris & Yilmaz, Kamil, 2002. "Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation," European Journal of Operational Research, Elsevier, vol. 137(3), pages 524-543, March.
    17. Oguzhan Cepni & Ahmet Goncu & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2013. "Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models," Working Papers 2013/16, Bogazici University, Department of Economics.
    18. Alessandro Ramponi, 2011. "Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing," Methodology and Computing in Applied Probability, Springer, vol. 13(2), pages 349-368, June.
    19. Lisok, Helen & Kritskiy, Oleg, 2007. "An Asymptotic Estimation of the Coefficients of the Stochastic Volatility Model," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 6(2), pages 3-12.
    20. 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.

    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:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf3:281. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/sceeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.