On the density of log-spot in the Heston volatility model

This paper proves that the log-spot in the Heston model has a density and gives an expression of this density as an infinite convolution of Bessel type densities. Such properties are deduced from a factorization of the characteristic function, mainly obtained through an analysis of the complex moment generating function. As an application a new algorithm to simulate spot is developed.

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Year of publication:	2010
Authors:	del Baño Rollin, Sebastian ; Ferreiro-Castilla, Albert ; Utzet, Frederic
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 10, p. 2037-2063
Publisher:	Elsevier
Keywords:	Heston volatility model Characteristic function Bessel random variables

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008873921