Numerical Simulation of the Heston Model under Stochastic Correlation

Stochastic correlation models have become increasingly important in financial markets. In order to be able to price vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by imposing stochastic correlations driven by a stochastic dif...

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Bibliographic Details
Main Authors: Long Teng, Matthias Ehrhardt, Michael Günther
Format: Article
Language:English
Published: MDPI AG 2017-12-01
Series:International Journal of Financial Studies
Subjects:
Online Access:https://www.mdpi.com/2227-7072/6/1/3