= A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options by Steven L. Heston
{c}
{tag=Work by Steven L. Heston}
{title2=1993}
{title2=10.1093/rfs/6.2.327}
By <Steven L. Heston>. The Review of Financial Studies 6(2), pages 327–343.
Publisher: https://doi.org/10.1093/rfs/6.2.327
Original paper: https://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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