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...
Main Author: | Long Teng |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-04-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/9/934 |
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