This article compares the ability of the stochastic volatility models of HESTON and HULL & WHITE to explain the smile and maturity structure of implied volatilities for dollar-deutschmark options. We provide first an efficient technique for fitting HESTON’s mean-reverting volatility model, then show that HESTON’s model gives a better fit to our data.
GESSER, V. et PONCET, P. (1998). Volatility Patterns: Theory and Some Evidence from the Dollar-Mark Option Market. Journal of Derivatives, pp. 46-61.