Heston European Option Closed Form Formula

Derives the closed form expression for the price of European Call option under the Heston Stochastic Volatility model. This also involves derivation of the characteristic function and the associated PDE. Here is the link to the Github Python project:

https://github.com/quantpie/Heston_Eu...

References:
Heston (1993), A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies

Further reading:
1) Duffie, Pan, and Singleton (2000), Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica
2) Duffie, Filipović, and Schachermayer (2003). Affine Processes and Applications in Finance. The Annals of Applied Probability