MODERN LOGARITHMS FOR THE HESTON MODEL

DOI10.1142/S0219024907004111zbMath1291.91217OpenAlexW3125121372MaRDI QIDQ3444861

Ingo Fahrner

Publication date: 5 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004111

zbMATH Keywords

Heston modelbranch-cutLewis-Lipton formula

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (5)

COMPLEX LOGARITHMS IN HESTON-LIKE MODELS ⋮ On refined volatility smile expansion in the Heston model ⋮ Valuing options in Heston's stochastic volatility model: another analytical approach ⋮ Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model ⋮ General approximation schemes for option prices in stochastic volatility models

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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