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...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:Mathematics
المؤلف الرئيسي: Long Teng
التنسيق: مقال
اللغة:الإنجليزية
منشور في: MDPI AG 2021-04-01
الموضوعات:
correlation flow
isospectral flow
the Heston stochastic volatility
backward stochastic differential equation
time-dependent correlation
الوصول للمادة أونلاين:https://www.mdpi.com/2227-7390/9/9/934

الانترنت

https://www.mdpi.com/2227-7390/9/9/934

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