Heston model

The Heston model is a mathematical model that was developed by Steven Heston for evaluating financial options .

In contrast to the older Black-Scholes model , the Heston model allows stochastic volatility to be assumed.

literature

• Steven L. Heston: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, 1993 (6), 2, pp. 327-343.