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

4 Pages Posted: 20 Oct 2008 Last revised: 1 Oct 2009

Date Written: October 9, 2008

Abstract

Guo and Hung [2007] recently studied the complex logarithm present in the characteristic function of Heston's stochastic volatility model. They proposed an algorithm for the evaluation of the characteristic function which is claimed to preserve its continuity. We show their algorithm is correct, although their proof is not.

Keywords: Complex logarithm, stochastic volatility, Heston, characteristic function

JEL Classification: C63, G13

Suggested Citation

Lord, Roger, Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model (October 9, 2008). Available at SSRN: https://ssrn.com/abstract=1286210 or http://dx.doi.org/10.2139/ssrn.1286210

Roger Lord (Contact Author)

Cardano Risk Management ( email )

Rotterdam 3011 AA
Netherlands

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