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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 \(\mathbb Q^1\) and \(\mathbb Q^2\) , where K is the strike price and T expiry date (See the option pricing formula (24.15), Vol. I).

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Option Pricing Formula Under the Heston Model

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  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

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 \(\mathbb Q^1\) and \(\mathbb Q^2\) , where K is the strike price and T expiry date (See the option pricing formula (24.15), Vol. I).