31 Pages Posted: 28 Feb 2011 Last revised: 7 Mar 2011
Date Written: March 2011
The Heston model is one of the most popular stochastic volatility models for Equity and FX modelling. Although it was developed more than fifteen years ago, its understanding is still not complete and many recent publications have addressed deep theoretical and implementation issues. We review here some recent results on this model up to and including year 2010.
Keywords: Heston, stochastic volatility, calibration, pricing, implied volatility
JEL Classification: C63, G12, G13
Suggested Citation: Suggested Citation