Abstract

http://ssrn.com/abstract=954785
 
 

References (9)



 
 

Citations (5)



 


 



Modern Logarithms for the Heston Model


Ingo Fahrner


Landesbank Baden-Württemberg (LBBW)


International Journal of Theoretical and Applied Finance, Forthcoming

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.

Number of Pages in PDF File: 7

Keywords: Heston model, branch-cut, Lewis-Lipton formula

Accepted Paper Series


Download This Paper

Date posted: January 4, 2007  

Suggested Citation

Fahrner, Ingo, Modern Logarithms for the Heston Model. International Journal of Theoretical and Applied Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=954785

Contact Information

Ingo Fahrner (Contact Author)
Landesbank Baden-Württemberg (LBBW) ( email )
Am Hauptbahnhof 2
Stuttgart, 70174
Germany
Feedback to SSRN


Paper statistics
Abstract Views: 2,805
Downloads: 1,162
Download Rank: 8,792
References:  9
Citations:  5

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.219 seconds