Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:logic
stochastic volatility model |
| gptkbp:allows |
closed-form solution for European options
|
| gptkbp:assumes |
correlation between asset price and volatility
variance follows CIR process |
| gptkbp:category |
quantitative finance
|
| gptkbp:describes |
evolution of volatility
|
| gptkbp:generalizes |
gptkb:Black-Scholes_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
Heston model
|
| gptkbp:parameter |
correlation
mean reversion rate initial variance long-term variance speed of mean reversion volatility of variance volatility of volatility |
| gptkbp:proposedBy |
1993
Steven L. Heston |
| gptkbp:solvedBy |
characteristic function
|
| gptkbp:usedFor |
option pricing
|
| gptkbp:usedIn |
financial mathematics
|
| gptkbp:bfsParent |
gptkb:Black-Scholes-Merton_model
|
| gptkbp:bfsLayer |
7
|