On the Heston Model with Stochastic Correlation

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：qxff

【摘要】

：

　　Financial correlation plays an essential role on pricing,hedging and is often assumed as a constant.However,market observation indicates that financial quan

【作者】

：

TengLong[1]EhrhardtWuppertal[2]GuentherMichael[1]

【机构】

：

Bergische Universit(a)t Wuppertal

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　Financial correlation plays an essential role on pricing,hedging and is often assumed as a constant.However,market observation indicates that financial quantities are correlated in a strongly nonlinear way,correlation behaves even stochastically and unpredictably.

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On the Heston Model with Stochastic Correlation

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