Time Dependent Heston Model

  title={Time Dependent Heston Model},
  author={E. Benhamou and Emmanuel Gobet and Mohammed Miri},
  journal={Econometrics: Applied Econometrics \& Modeling eJournal},
The use of the Heston model is still challenging because it has a closed formula only when the parameters are constant [S. Heston, Rev. Financ. Stud., 6 (1993), pp. 327-343] or piecewise constant [S. Mikhailov and U. Nogel, Wilmott Magazine, July (2003), pp. 74-79]. Hence, using a small volatility of volatility expansion and Malliavin calculus techniques, we derive an accurate analytical formula for the price of vanilla options for any time dependent Heston model (the accuracy is less than a… 

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