The Dynamic Correlation Model and Its Application to the Heston Model

DOI10.1007/978-3-319-33446-2_21zbMath1398.91464OpenAlexW2558543512MaRDI QIDQ4689924

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Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_21

zbMATH Keywords

nonlinear dependenceimplied volatilityHeston modeltime-dependent correlations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Spatial models in economics (91B72)

Related Items (6)

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Pricing multi-asset American option under Heston-CIR diffusion model with jumps ⋮ Multivariate tempered stable additive subordination for financial models ⋮ A new methodology to create valid time-dependent correlation matrices via isospectral flows ⋮ Foreign exchange options on Heston-CIR model under Lévy process framework ⋮ ON THE HESTON MODEL WITH STOCHASTIC CORRELATION

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