On the Heston model with stochastic correlation

DOI10.1142/S0219024916500333MaRDI QIDQ2828053zbMATH OpenFDO

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)

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)

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Cites work

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

Cited in

(23)

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

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