Work

Moment Generating Function of the Averaged Log-returns in the Heston's Stochastic Volatility Model

Year: 2025

Type: article

Abstract: 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.

Source: Proceedings of the Bulgarian Academy of Sciences

DOI: 10.7546/crabs.2025.03.01

Authors: Tsvetelin Zaevski, Dragomir Nedeltchev

Institutions: Bulgarian Academy of Sciences, Sofia University "St. Kliment Ohridski"

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4408944048

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