7 Pages Posted: 4 Jan 2007
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: 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
By Jianwei Zhu