There are several styles used in writing academic papers. "Style" in this context means a complete set of standards for things such as citation format, title page, font, spacing, abbreviations, and punctuation. Which style you should use depends on your academic discipline, country, and the instructor's preferences. In the United States and Canada, the most common academic styles are MLA (Modern Languages Association), Chicago (University of Chicago Press), and APA (American Psychological Association), while journalists tend to follow AP (Associated Press) style. In Britain and Europe, MHRA (Modern Humanities Research Association) style is common for academic papers.
Alice Munro's “Boys and Girls” is actually a short story in a book entitled Dance of the Happy Shades. In most styles, neither the author's name nor the name of a short story is italicized, but the title of the book containing the story is italicized. You should also note that in British English, you should use single quotation marks and place punctuation outside the quotation marks, whereas in U.S. English one uses double quotation marks and places punctuation inside the closing quotation mark.