# The Generalized Gamma Distribution as a Useful RND Under Heston’s Stochastic Volatility Model

@article{Boukai2021TheGG, title={The Generalized Gamma Distribution as a Useful RND Under Heston’s Stochastic Volatility Model}, author={Benzion Boukai}, journal={Econometric Modeling: Derivatives eJournal}, year={2021} }

Following Boukai (2021) we present the Generalized Gamma (GG) distribution as a possible RND for modeling European options prices under Heston's (1993) stochastic volatility (SV) model. This distribution is seen as especially useful in situations in which the spot's price follows a negatively skewed distribution and hence, Black-Scholes based (i.e. the log-normal distribution) modeling is largely inapt. We apply the GG distribution as RND to modeling current market option data on three large…

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