Reference

Bénédicte Alziary Chassat, and Peter Takac, On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets, TSE Working Paper, n. 17-796, April 2017.

Keywords

Heston model; stochastic volatility; Black-Scholes equation; European call option; degenerate parabolic equation; terminal value problem; holomorphic extension; analytic solution;