Moment Generating Function of the Averaged Log-returns in the Heston's Stochastic Volatility Model
The aim of this short note is to investigate the domain of the moment generating function of the log-returns in the Heston's stochastic volatility model averaging the initial volatility value through its stationary distribution. This way we deal with the problem that arises from the fact that the volatility is a hidden market object and it is hard to be extracted.
Authors
- Dragomir C. Nedeltchev
- Tsvetelin Zaevski (ORCID: https://orcid.org/0000-0002-1118-4189)
Institutions
- Bulgarian Academy of Sciences (BG)
- Sofia University "St. Kliment Ohridski" (BG)
Publication Details
- Journal
- Proceedings of the Bulgarian Academy of Sciences
- Published
- 2025-03-28
- DOI
- https://doi.org/10.7546/crabs.2025.03.01
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00