ON THE HESTON MODEL WITH STOCHASTIC CORRELATION

DOI10.1142/S0219024916500333zbMath1396.91580MaRDI QIDQ2828053

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Publication date: 24 October 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

characteristic functionOrnstein-Uhlenbeck processHeston modelJacobi processstochastic correlation processaffine diffusion process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Wishart processes
• A versatile approach for stochastic correlation using hyperbolic functions
• On the Heston Model with Stochastic Interest Rates
• The Dynamic Correlation Model and Its Application to the Heston Model