Ever shrinking margins and the continued mass adoption of FX trading platforms present only one possible solution from the sell side perspective: increase volume. At first blush, not too daunting perhaps, since the product range […]
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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. […]
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