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

DOI10.1093/rfs/6.2.327zbMath1384.35131OpenAlexW2064978316WikidataQ57253923 ScholiaQ57253923MaRDI QIDQ5374080

Steven L. Heston

Publication date: 6 April 2018

Published in: Review of Financial Studies (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d5b9b0ac52fd359eb2ce892b94ea7e8b20cb3b8d

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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