Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
AbstractGuo and Hung (2007) recently studied the complex logarithm present in the characteristic function of Heston's stochastic volatility model. They proposed an algorithm for the evaluation of the characteristic function that is claimed to preserve its continuity. We show their algorithm is correct, although their proof is not.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 17 (2010)
Issue (Month): 4 ()
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