Stochastic volatility models can generally be considered modifications of the popular Black-
Scholes model. These particular models are more realistic to the obtaining in the financial markets. This
paper examines a hybrid Heston-SABR model, which combines elements from both the Heston and
Stochastic Alpha Beta Rho (SABR) models. This model captures the main features of both models, namely
the mean-revertion for the stochastic volatility process and the skewness regarding the distribution of
the underlying asset returns. We analyze stylized facts of the hybrid Heston-SABR model. Using Monte
Carlo simulations, we plot the simulated paths for European option and examine them for the different
correlation parameter under this model. Further, we conduct numerical simulations to compute option
prices for the European style using Milstein and Euler-Maruyama methods.

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