On the Heston Model with Stochastic Volatility

Bénédicte Alziary () and Peter Takáč
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Bénédicte Alziary: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Peter Takáč: Unknown

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Keywords: Heston model; stochastic volatility; Black-Scholes equation; European call option; degenerate parabolic equation; terminal value problem; holomorphic extension; analytic solution (search for similar items in EconPapers)
Date: 2026-01-23
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