On the Heston model with stochastic correlation (Q2828053)
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scientific article; zbMATH DE number 6642665
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| English | On the Heston model with stochastic correlation |
scientific article; zbMATH DE number 6642665 |
Statements
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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On the Heston model with stochastic correlation (English)
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0.8272112011909485
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0.8038398623466492
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0.8032290935516357
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0.7909547686576843
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0.785954475402832
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