ON THE HESTON MODEL WITH STOCHASTIC CORRELATION (Q2828053): Difference between revisions
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| Property / cites work: Estimating the Wishart affine stochastic correlation model using the empirical characteristic function / rank | |||
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| Property / cites work: On the Heston Model with Stochastic Interest Rates / rank | |||
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| Property / cites work: The Dynamic Correlation Model and Its Application to the Heston Model / rank | |||
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Latest revision as of 18:44, 12 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON THE HESTON MODEL WITH STOCHASTIC CORRELATION |
scientific article |
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ON THE HESTON MODEL WITH STOCHASTIC CORRELATION (English)
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24 October 2016
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Heston model
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stochastic correlation process
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Ornstein-Uhlenbeck process
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Jacobi process
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characteristic function
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affine diffusion process
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