The present paper describes a novel implementation of the continuous phase shifting method (PSM), named heterodyne holography, in a scanning probe microscope configuration, able to retrieve the complex scattered field in on-axis configuration. This can be achieved by acquiring a continuous sequence of holograms at different wavelengths in just a single scan through the combination of scanning interference microscopy and a low-coherent signal acquired in the frequency domain. This method exploits the main advantages of the phase shifting technique and avoids some limits relative to off-axis holography in providing quantitative phase imaging.