A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

L. Heston, Steven

doi:10.1093/rfs/6.2.327

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Shared by NobleBlocks on Apr 1, 1993 • 12:00 AM UTC

Authors:

Steven L. Heston

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 H...

Subject

Stochastic volatility

Currency

Heston model

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