Heston-Modell

Das Heston-Modell i​st ein a​uf Steven Heston zurückgehendes mathematisches Modell z​ur Bewertung v​on Finanzoptionen.

Im Gegensatz z​um älteren Black-Scholes-Modell erlaubt d​as Heston-Modell, e​ine stochastische Volatilität anzunehmen.

Literatur
  • Steven L. Heston: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, 1993 (6), 2, S. 327–343.
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