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

Roger Lord

Applied Mathematical Finance, 2010, vol. 17, issue 4, 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
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DOI: 10.1080/13504860903387612

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