Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-16
vanilla options in stochastic volatility and correlation models, in this work, we study the extension of the Heston model by …Stochastic correlation models have become increasingly important in financial markets. In order to be able to price … effect of stochastic correlations on the implied volatility, we find that the performance of the Heston model can be proved …
