Time-dependent Heston model
Pricing of Securities
2014-02-25 v1 Computational Finance
Abstract
This work presents an exact solution to the generalized Heston model, where the model parameters are assumed to have linear time dependence The solution for the model in expressed in terms of confluent hypergeometric functions.
Cite
@article{arxiv.1402.5679,
title = {Time-dependent Heston model},
author = {G. S. Vasilev},
journal= {arXiv preprint arXiv:1402.5679},
year = {2014}
}