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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Review of Financial Studies · 1993 · Vol. 6(2) · pp. 327–343
Steven L. Heston✉(Yale University)
Abstract
Journal Article A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options Get access Steven L. Heston Steven L. Heston Yale University Address correspondence to Steven L. Heston, Yale School of Organization and Management, 135 Prospect Street, New Haven, CT06511. Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 6, Issue 2, April 1993, Pages 327–343, https://doi.org/10.1093/rfs/6.2.327 Published: 02 April 2015
Stochastic processes and financial applicationsFinancial Risk and Volatility ModelingFinancial Markets and Investment StrategiesStochastic volatilityCurrencyHeston modelBondVolatility (finance)EconomicsFinancial economicsSABR volatility modelFinanceMonetary economics
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