<t>Does anyone have some experiences to share concerning the homogenization (averaging) of a time dependent volatility of variance parameter in a Heston-type stochastic volatility model?More concretely, I'm currently working on an implementation of the Piterbarg homogenization formulae and ran into ...

<t>Well, yes, the ODE way usually does involve an ansatz, or the somewhat anticipated "guessing" of the solution's form in advance.Working with piecewise constant parameters allows for an, though iterative, but analytical solution of the arising Riccati-type ODE and thus the whole system over each t...

<t>Hello all!I'm currently working on implementations of the Heston and Schöbel/Zhu (Stein & Stein with non-zero vol-asset correlation) stochastic volatility models. As we all know, there is a problem with the complex logarithm in these models, but we also know the algorithm for log branch corre...