COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742): Difference between revisions

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Latest revision as of 08:52, 3 July 2024

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COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
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    COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (English)
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    15 October 2010
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    complex logarithm
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    affine jump-diffusion
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    stochastic volatility
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    Heston
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    characteristic function
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    option pricing
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    Fourier inversion
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    variance gamma
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    Schöbel-Zhu
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    exact simulation
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