Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

DOI10.1080/13504860903387612zbMath1233.91341OpenAlexW2049473326MaRDI QIDQ2786212

Roger Lord

Publication date: 21 September 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903387612

zbMATH Keywords

stochastic volatilitycharacteristic functionHestoncomplex logarithm

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• MODERN LOGARITHMS FOR THE HESTON MODEL
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model

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