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

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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 Haven, CT06511. Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 6, Issue 2, April 1993, Pages 327–343, https://doi.org/10.1093/rfs/6.2.327 Published: 02 April 2015

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Financial Markets and Investment Strategies

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Published in: Review of Financial Studies

Volume 6, Issue 2, pp. 327-343

DOI: 10.1093/rfs/6.2.327

Field-Weighted Citation Impact: 33.36

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

Authors

Abstract

Topics & Keywords

Publication Details