Contreras G., Mauricio - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 289-302
The stochastic volatility models used in the financial world are characterized, in the continuous-time case, by a set of two coupled stochastic differential equations for the underlying asset price S and volatility σ. In addition, the correlations of the two Brownian movements that drive the...