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Heston's exponential-affine characteristic-function conjecture for the extended stochastic-interest-rate model
Let $f_j(x,v,\tau;\phi)$ , for $j\in\{1,2\}$ , denote the characteristic function solving the stated partial differential equation with initial condition…
Conjectureopencharacteristic-functions interest-rate-models stochastic-volatilityarXiv posted 2 days ago

Heston's exponential-affine characteristic-function conjecture for the extended stochastic-interest-rate model