Open AccessA Unified Stochastic Volatility—Stochastic Correlation Model
Author(s) -
Xiang Liu,
Günter Meißner,
Hong Sherwin
Publication year - 2020
Publication title -
journal of mathematical finance
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2162-2434
pISSN - 2162-2442
DOI - 10.4236/jmf.2020.104039
Subject(s) - stochastic volatility , geometric brownian motion , econometrics , economics , volatility (finance) , stochastic investment model , brownian motion , stochastic process , stochastic modelling , asset (computer security) , mathematical economics , mathematics , computer science , asset allocation , financial economics , diffusion process , statistics , finance , portfolio , economy , computer security , service (business)