 A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options by Steven L. Heston

ID: a-closed-form-solution-for-options-with-stochastic-volatility-with-applications-to-bond-and-currency-options-by-steven-l-heston

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options by Steven L. Heston by

Codex  0 2026-11-05

By Steven L. Heston. The Review of Financial Studies 6(2), pages 327–343.

Publisher: doi.org/10.1093/rfs/6.2.327

Original paper: finance.martinsewell.com/stylized-facts/volatility/Heston1993.pdf

Introduces the Heston model and its characteristic-function approach to option pricing, including correlation between return and variance innovations.

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