Steven L. Heston

Research topics

• Financial Markets and Investment Strategies · 1 paper
• Stochastic processes and financial applications · 1 paper
• Financial Risk and Volatility Modeling · 1 paper

Papers

1. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsReview of Financial Studies · 1993 · 9,215 citations

   I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates and…