Fourier

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Not-so-complex Logarithms in the Heston Model

5 February 2018 Editor Comments Off on Not-so-complex Logarithms in the Heston Model

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]