• Corpus ID: 154211780

Time-dependent Heston model

@article{Vasilev2014TimedependentHM,
  title={Time-dependent Heston model},
  author={G. S. Vasilev},
  journal={arXiv: Pricing of Securities},
  year={2014}
}
  • G. S. Vasilev
  • Published 23 February 2014
  • Mathematics
  • arXiv: Pricing of Securities
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. 

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