EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) 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: https://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.tandfonline.com/pricing/journal/RAMF20

DOI: 10.1080/13504860903387612

Access Statistics for this article

Applied Mathematical Finance is currently edited by Professor Ben Hambly and Christoph Reisinger

More articles in Applied Mathematical Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2020-11-06
Handle: RePEc:taf:apmtfi:v:17:y:2010:i:4:p:373-376