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Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Roger Lord Cardano, United Kingdom October 9, 2008 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 which 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 JEL Classifications: C63, G13 Working Paper SeriesDate posted: October 20, 2008 ; Last revised: October 01, 2009Suggested CitationContact Information
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