Talk:Chen model

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The Chen model was not "the first stochastic mean and stochastic volatility model". The Cox, Ingersoll, and Ross working paper had single factor and multiple factor models with stochastic mean and stochastic volatility in 1977. —Preceding unsigned comment added by 71.191.110.185 (talk) 22:41, 12 September 2007 (UTC)

[edit] 3 factor

It looks like a three-factor model, not a 1 factor model —Preceding unsigned comment added by 83.98.244.180 (talk) 09:44, 24 October 2007 (UTC)

The said factor is probably the Brownian motion with increments dW_t. That is, just one source of randomness (the same Brownian motion everywhere) - one factor AdamSmithee 13:05, 24 October 2007 (UTC)