Contreras, Mauricio; Hojman, Sergio A. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 391-403
Stochastic volatility models have been widely studied and used in the financial world. The Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue. These stochastic volatility models are characterized by the fact that they explicitly depend on a correlation...
