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Quantitative Finance Volume 2, 2002 - Issue 6
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Research papers

Probability distribution of returns in the Heston model with stochastic volatilityFootnote*

Adrian A Drǎgulescu Department of Physics, University of Maryland, College Park, MD, 20742‐4111, USA E-mail: [email protected]; Constellation Energy Group, Baltimore, MD, USA
&
Victor M Yakovenko Department of Physics, University of Maryland, College Park, MD, 20742‐4111, USA E-mail: [email protected]
Pages 443-453 | Received 11 Mar 2002, Accepted 22 Oct 2002, Published online: 15 Jul 2010

  • Paper presented at Applications of Physics in Financial Analysis (APFA) 3, 5–7 December 2001, Museum of London, UK.
  • Present address: Constellation Energy Group, Baltimore, MD, USA.
  • http://www2.physics.umd.edu/∼yakovenk

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