Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
4 Pages Posted: 20 Oct 2008 Last revised: 1 Oct 2009
Date Written: 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 Classification: C63, G13
Suggested Citation: Suggested Citation
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