MODERN LOGARITHMS FOR THE HESTON MODEL

Ingo Fahrner ()
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Ingo Fahrner: Quantitative Research, LBBW, Am Hauptbahnhof 2, 70144 Stuttgart, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 01, 23-30

Abstract: 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.

Keywords: Heston model; branch-cut; Lewis-Lipton formula (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024907004111

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