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How does one best define the correlation structure in a Multivariate Heston Setup? (i.e. Correlations between the Wiener processes of the Stocks / their Variance Processes)

Vanity
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  • Have a look at this paper and references therein: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2729475 – Quantuple Apr 19 '18 at 06:58

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