Download This PaperHeston 2010
31 Pages Posted: 28 Feb 2011 Last revised: 7 Mar 2011
Date Written: March 2011
Abstract
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
Jacquier, Antoine and Martini, Claude, Heston 2010 (March 2011). Available at SSRN: https://ssrn.com/abstract=1769744 or http://dx.doi.org/10.2139/ssrn.1769744
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.