The Dynamic Correlation Model and Its Application to the Heston Model (Q4689924)
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scientific article; zbMATH DE number 6959399
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Dynamic Correlation Model and Its Application to the Heston Model |
scientific article; zbMATH DE number 6959399 |
Statements
The Dynamic Correlation Model and Its Application to the Heston Model (English)
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22 October 2018
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time-dependent correlations
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Heston model
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implied volatility
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nonlinear dependence
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