Option Pricing Formula Under the Heston Model

Geon Ho Choe
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Geon Ho Choe: Korea Advanced Institute of Science and Technology, Department of Mathematical Sciences

Chapter Chapter 22 in Quantitative Methods for Finance with Simulations II, 2026, pp 393-409 from Springer

Abstract: Abstract In this chapter we derive the option pricing formula under Heston’s stochastic volatility model. In the Black–Scholes–Merton model the price of a European call option at time t equals for some probability measures ℚ 1 $$\mathbb Q^1$$ and ℚ 2 $$\mathbb Q^2$$ , where K is the strike price and T expiry date (See the option pricing formula (24.15), Vol. I).

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-032-12331-2_22

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DOI: 10.1007/978-3-032-12331-2_22

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