Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

Guo and Hung (2007) recently studied the complex logarithm present in the characteristic function of Heston's stochastic volatility model. They proposed an algorithm for the evaluation of the characteristic function that is claimed to preserve its continuity. We show their algorithm is correct, although their proof is not.

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Year of publication:	2010
Authors:	Lord, Roger
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 17.2010, 4, p. 373-376
Publisher:	Taylor & Francis Journals
Subject:	Complex logarithm \| stochastic volatility \| Heston \| characteristic function

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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