The Heston Model with Time-Dependent Correlation Driven by Isospectral Flows
In this work, we extend the Heston stochastic volatility model by including a time-dependent correlation that is driven by isospectral flows instead of a constant correlation, being motivated by the fact that the correlation between, e.g., financial products and financial institutions is hardly a fi...
I tiakina i:
| Kaituhi matua: | |
|---|---|
| Hōputu: | Artigo |
| Reo: | Inglês |
| I whakaputaina: |
MDPI AG
2021-04-01
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| Rangatū: | Mathematics |
| Ngā marau: | |
| Urunga tuihono: | https://www.mdpi.com/2227-7390/9/9/934 |
| Ngā Tūtohu: |
Kāore He Tūtohu, Me noho koe te mea tuatahi ki te tūtohu i tēnei pūkete!
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