Time Dependent Heston Model (Q3563695)

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Time Dependent Heston Model
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    title
    Time Dependent Heston Model (English)
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    DOI
    10.1137/090753814
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    author
    Eric Benhamou
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    Emmanuel Gobet
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    Mohammed Miri
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    publication date
    1 June 2010
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    Mathematics Subject Classification ID
    91G20
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    60H07
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    91G80
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    zbMATH DE Number
    5714650
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    zbMATH Keywords
    time dependent Heston model
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    Cox-Ingersoll-Ross model
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    Malliavin calculus
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    asymptotic expansion
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    volatility of volatility
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