On the density of log-spot in the Heston volatility model (Q2638360)
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scientific article; zbMATH DE number 5786064
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| English | On the density of log-spot in the Heston volatility model |
scientific article; zbMATH DE number 5786064 |
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On the density of log-spot in the Heston volatility model (English)
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15 September 2010
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From the authors' abstract: This paper proves that the log-spot in the Heston model has a \(C^\infty\) density and gives an expression of this density as an infinite convolution of Bessel type densities. Such properties are deduced from a factorization of the characteristic function, mainly obtained through an analysis of the complex moment generating function. As an application a new algorithm to simulate spot is developed.
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Heston volatility model
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characteristic function
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Bessel random variables
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