Keeping Up with the Correlations: Stochastic Spot/Volatility Correlation and Exotic Pricing

By Mark Higgins

Published 2026-02-03

Everscope rating

1792.9

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Double Heston Model with Stochastic Spot/Volatility Correlation. Problem types: Derivatives Pricing, Risk Management, Market Making, Model Calibration, Exotic Options Valuation.

arXiv:2602.01376 · Paper rankings

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