Construct · 1 fields · 1 citations

Heston model: a standalone construct

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Finance

option pricing model in which variance follows its own mean-reverting square-root process correlated with the asset price, yielding a closed-form solution.

In finance, Heston model refers to option pricing model in which variance follows its own mean-reverting square-root process correlated with the asset price, yielding a closed-form solution. This meaning comes from Heston (1993) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs model3 fields · 3 citationsjingle · one word, three constructs option4 fields · 9 citationsjingle · one word, four constructs

References

Heston, S. L. (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

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