On The Heston Model With Stochastic Correlation
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org.
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KeywordsHeston model; stochastic correlation process; Ornstein–Uhlenbeck process; Jacobi process; characteristic function; affine diffusion process;
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