Modern Logarithms for the Heston Model
Landesbank Baden-Württemberg (LBBW)
International Journal of Theoretical and Applied Finance, Forthcoming
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 formulaAccepted Paper Series
Date posted: January 4, 2007
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo4 in 0.282 seconds