Heston ’ s Stochastic Volatility Model Implementation , Calibration and Some

@inproceedings{Mikhailov2003HestonS,
  title={Heston ’ s Stochastic Volatility Model Implementation , Calibration and Some},
  author={Sergei Mikhailov and Ulrich N{\"o}gel},
  year={2003}
}
To take into account leverage effect, Wiener stochastic processes W1, W2 should be correlated dW1 · dW2 = ρdt. The stochastic model (1.2) for the variance is related to the square-root process of Feller (1951) and Cox, Ingersoll and Ross (1985). For the square-root process (1.2) the variance is always positive and if 2κθ > σ 2 then it cannot reach zero. Note that the deterministic part of process (1.2) is asymptotically stable if κ > 0. Clearly, that equilibrium point is Vt = θ . 
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