Barndorff-Nielsen and Shephard (2001) proposed a class of stochastic volatility models in which the volatility follows …’s stochastic volatility models. …

vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by … effect of stochastic correlations on the implied volatility, we find that the performance of the Heston model can be proved …