The Heston model with stochastic elasticity of variance

DOI10.1002/ASMB.2203zbMath1420.91454OpenAlexW2525054953MaRDI QIDQ4620171

Ji-Hun Yoon, Jeong-Hoon Kim, Sun-Yong Choi

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2203

zbMATH Keywords

implied volatilityHeston modelmultifactorstochastic elasticity of variance

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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