COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COMPLEX LOGARITHMS IN HESTON-LIKE MODELS |
scientific article |
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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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