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

Roger Lord

Applied Mathematical Finance, 2010, vol. 17, issue 4, pages 373-376

Abstract: 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.

Keywords: Complex logarithm; stochastic volatility; Heston; characteristic function (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13504860903387612 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:taf:apmtfi:v:17:y:2010:i:4:p:373-376

Ordering information: This journal article can be ordered from
http://www.tandf.co.uk/journals/subscription.asp

Access Statistics for this article

Applied Mathematical Finance is edited by Ben Hambly and William Shaw

More articles in Applied Mathematical Finance from Taylor and Francis Journals
Series data maintained by Michael McNulty ().