Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of Futures Markets 29 (2009) 9, pp. 862-893
We introduce an explicitly solvable multiscale stochastic volatility model that generalizes the Heston model. The model describes the dynamics of an asset price and of its two stochastic variances using a system of three Ito stochastic differential equations. The two stochastic variances vary on...