Modern Logarithms for the Heston Model

7 Pages Posted: 4 Jan 2007  

Ingo Fahrner

Landesbank Baden-W├╝rttemberg (LBBW)

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.

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

Suggested Citation

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

Ingo Fahrner (Contact Author)

Landesbank Baden-W├╝rttemberg (LBBW) ( email )

Am Hauptbahnhof 2
Stuttgart, 70174
Germany

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