2010-10-14Diskussionspapier
FX Smile in the Heston Model
Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe
Abstract: The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the ...