MODERN LOGARITHMS FOR THE HESTON MODEL

We give a simple proof that in applications there is no need to track the branch-cut of the complex logarithm in the Heston model when using the Lewis-Lipton formula in the right way.

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Year of publication:	2007
Authors:	FAHRNER, INGO
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 10.2007, 01, p. 23-30
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Heston model \| branch-cut \| Lewis-Lipton formula

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

Persistent link: https://www.econbiz.de/10004971780