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A major drawback of the Standard Heston model is that its implied volatilitysurface does not produce a steep enough smile when looking at short maturities.For that reason, we introduce the Stationary Heston model where we replace thedeterministic initial condition of the volatility by its invariant measure andshow, based on calibrated parameters, that this model produce a steeper smilefor short maturities than the Standard Heston model. We also present numericalsolution based on Product Recursive Quantization for the evaluation of exoticoptions (Bermudan and Barrier options).

Stationary Heston model: Calibration and Pricing of exotics using Product Recursive Quantization