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 formula
Date posted: January 4, 2007