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...

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Autor principal:	Long Teng
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2021-04-01
Col·lecció:	Mathematics
Matèries:	correlation flow isospectral flow the Heston stochastic volatility backward stochastic differential equation time-dependent correlation
Accés en línia:	https://www.mdpi.com/2227-7390/9/9/934
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