On the Heston model with stochastic correlation

DOI10.1142/S0219024916500333zbMATH Open1396.91580MaRDI QIDQ2828053FDOQ2828053

Authors: Long Teng, Matthias Ehrhardt, Michael Günther 

Publication date: 24 October 2016

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

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zbMATH Keywords

characteristic functionOrnstein-Uhlenbeck processJacobi processHeston modelstochastic correlation processaffine diffusion process

Mathematics Subject Classification ID

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

Cites Work

• Wishart processes
• On the Heston model with stochastic interest rates
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• A versatile approach for stochastic correlation using hyperbolic functions
• A square root process for modelling correlation.
• The Dynamic Correlation Model and Its Application to the Heston Model

Cited In (20)

• Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
• Modelling and Calibration of Stochastic Correlation in Finance
• Analytic solutions for variance swaps with double-mean-reverting volatility
• On Singularities in the Heston Model
• QUANTO PRICING IN STOCHASTIC CORRELATION MODELS
• On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
• Comparison of stochastic correlation models
• Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
• Asymmetry in stochastic volatility models with threshold and time-dependent correlation
• The Heston model with stochastic elasticity of variance
• European options sensitivity with respect to the correlation for multidimensional Heston models
• An explicitly solvable Heston model with stochastic interest rate
• A gradient-based calibration method for the Heston model
• Option pricing when correlations are stochastic: an analytical framework
• On the density of log-spot in the Heston volatility model
• A new methodology to create valid time-dependent correlation matrices via isospectral flows
• Correlations and bounds for stochastic volatility models
• Stochastic Jacobian and Riccati ODE in affine term structure models
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
• A square root process for modelling correlation.

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