Implied higher order moments in the Heston model: a case study of S\&P500 index

DOI10.1007/s10203-023-00396-zzbMath1530.91553OpenAlexW4376148945MaRDI QIDQ6089406

Publication date: 17 November 2023

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-023-00396-z

zbMATH Keywords

calibration Heston model higher order moments VIX index

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

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