In finance, the Heston model, named after Steven L. Heston, is a mathematical model that describes the evolution of the volatility of an underlying asset.[1] It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process.
- ^ Heston, Steven L. (1993). "A closed-form solution for options with stochastic volatility with applications to bond and currency options". Review of Financial Studies. 6 (2): 327–343. doi:10.1093/rfs/6.2.327. JSTOR 2962057. S2CID 16091300.
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