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

Authors

  • Tsvetelin S. Zaevski Bulgarian Academy of Sciences and Sofia University “St. Kliment Ohridski”, Bulgaria
  • Dragomir C. Nedeltchev Bulgarian Academy of Sciences

DOI:

https://doi.org/10.7546/CRABS.2025.03.01

Keywords:

Heston model, stochastic volatility, moment generating function, moment finiteness

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.

Author Biographies

Tsvetelin S. Zaevski, Bulgarian Academy of Sciences and Sofia University “St. Kliment Ohridski”, Bulgaria

Mailing Address:
Institute of Mathematics and Informatics,
Bulgarian Academy of Sciences,
Akad. G. Bonchev St, Bl. 8, 1113 Sofia, Bulgaria
and
Faculty of Mathematics and Informatics,
Sofia University “St. Kliment Ohridski”,
5, James Bourchier Blvd, 1164 Sofia, Bulgaria

E-mails: t_s_zaevski@math.bas.bg,
t_s_zaevski@abv.bg

Dragomir C. Nedeltchev, Bulgarian Academy of Sciences

Mailing Address:
Institute of Mathematics and Informatics,
Bulgarian Academy of Sciences,
Akad. G. Bonchev St, Bl. 8,
1113 Sofia, Bulgaria

E-mails: dnedeltchev@math.bas.bg,
dnedelchev65@yahoo.com

Downloads

Published

28-03-2025

How to Cite

[1]
T. Zaevski and D. Nedeltchev, “Moment Generating Function of the Averaged Log-returns in the Heston’s Stochastic Volatility Model”, C. R. Acad. Bulg. Sci., vol. 78, no. 3, pp. 321–330, Mar. 2025.

Issue

Vol. 78 No. 3 (2025)

Section

Mathematics

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