Probability distribution of returns in the Heston model with stochastic volatility*
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Publication:4647229
DOI10.1080/14697688.2002.0000011zbMath1405.91734arXivcond-mat/0203046MaRDI QIDQ4647229
Adrian Drăgulescu, Victor M. Yakovenko
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0203046
91B70: Stochastic models in economics
91G99: Actuarial science and mathematical finance
35Q84: Fokker-Planck equations
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