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Hull, J. and John, C. (2008) Options Futures and Other Derivatives. 7th Edition, Pearson Prentice Hall, Upper Saddle River.

has been cited by the following article:

• TITLE: Mathematical Analysis of Financial Model on Market Price with Stochastic Volatility

  AUTHORS: Mitun Kumar Mondal, Md. Abdul Alim, Md. Faizur Rahman, Md. Haider Ali Biswas

  KEYWORDS: Stochastic Volatility, Black Scholes Biases, Heston Model, Black-Scholes Equation, Calibration, Characteristic Functions

  JOURNAL NAME: Journal of Mathematical Finance, Vol.7 No.2, May 19, 2017

  ABSTRACT: The Heston model is one of the most popular stochastic volatility models for option pricing to measure the volatility of different parameters in the financial market. In this work, we study the statistical analysis of Heston Model by partial differential equations. The model proposed by Heston takes into account non-lognormal distribution of the assets returns, leverage effect and the important mean reverting property of volatility. We have assayed on the return distribution on the basis of different values of correlation parameter and volatility, then we measure the effects of parameters ρ (correlation coefficient) anσ(standard deviation) for different situation such as ρ > 0, σ> 0, ρ = 0, σ= 0, ρ σ