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 … extended Heston model by incorporating stochastic correlations. Our numerical experiments show that the proposed algorithms can … effect of stochastic correlations on the implied volatility, we find that the performance of the Heston model can be proved …
