English, Article edition: MODERN LOGARITHMS FOR THE HESTON MODEL INGO FAHRNER

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Bookmark: http://trove.nla.gov.au/version/82918
Physical Description
  • article
Language
  • English

Edition details

Title
  • MODERN LOGARITHMS FOR THE HESTON MODEL
Author
  • INGO FAHRNER
Physical Description
  • article
Notes
  • We give a simple proof that in applications there is no need to track the branch-cut of the complex logarithm in the Heston model when using the Lewis-Lipton formula in the right way.
  • Heston model, branch-cut, Lewis-Lipton formula
  • RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:23-30
Language
  • English
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