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What is Heston and Variance Gamma Models Analysis about?

The document presents a comparison of two models, Heston with Equal Weights and Heston with Reversed ask-bid-spread Weights, detailing various parameters such as alpha, eta, n, Kappa, Theta, Sigma, Rho, and Vega. It includes RMSE values for different configurations, indicating the performance of each model. The data suggests that the Reversed ask-bid-spread Weights model generally yields lower RMSE values across the tested parameters.

Author

cristinacristelle

Language

EN