Black-Scholes formula - a Heston approach

Bogdan Patrut () and Tiberiu Socaciu ()
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Bogdan Patrut: Vasile Alecsandri University of Bacau, Faculty of Sciences, Romania

BRAND. Broad Research in Accounting, Negotiation, and Distribution, 2015, vol. 5, issue 1&2, 21-24

Abstract: In this paper we will compare Black-Scholes formula with a particular case of Heston formula, both solutions of the same problem.

Keywords: Black-Scholes model; Heston model; comparing analytic solutions. (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bra:journl:v:5:y:2015:i:1&2:p:21-24

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