Heston process with Student innovations
The process equations are identical as the Heston process with normal innovations.
The parameters for the simulations are:
- σ∞ = 0.11.
- τ = 4 days.
- γ = 1.65
- p(ϵr): Student with 4.0 degree of freedom
- p(ϵσ): Student with 4.5 degree of freedom
