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...

Full description

Bibliographic Details

Published in:	Mathematics
Main Author:	Long Teng
Format:	Article
Language:	English
Published:	MDPI AG 2021-04-01
Subjects:	correlation flow isospectral flow the Heston stochastic volatility backward stochastic differential equation time-dependent correlation
Online Access:	https://www.mdpi.com/2227-7390/9/9/934