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 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
Keywords
Stochastic volatilityCurrencyHeston modelBondVolatility (finance)EconomicsFinancial economicsSABR volatility modelFinanceMonetary economics
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Publication Info
- Year
- 1993
- Type
- article
- Volume
- 6
- Issue
- 2
- Pages
- 327-343
- Citations
- 8910
- Access
- Closed
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Cite This
Steven L. Heston
(1993).
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.
Review of Financial Studies
, 6
(2)
, 327-343.
https://doi.org/10.1093/rfs/6.2.327
Identifiers
- DOI
- 10.1093/rfs/6.2.327