A new look at the Heston characteristic function

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Title:	A new look at the Heston characteristic function
Author:	Baño Rollin, Sebastian del; Utzet i Civit, Frederic; Ferreiro Castilla, Albert; Universitat Autònoma de Barcelona. Centre de Recerca Matemàtica
Abstract:	A new expression for the characteristic function of log-spot in Heston model is presented. This expression more clearly exhibits its properties as an analytic characteristic function and allows us to compute the exact domain of the moment generating function. This result is then applied to the volatility smile at extreme strikes and to the control of the moments of spot. We also give a factorization of the moment generating function as product of Bessel type factors, and an approximating sequence to the law of log-spot is deduced.
Subject(s):	-Probabilitats
Rights:	open access Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el centre i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús https://creativecommons.org/licenses/by-nc-nd/2.5/
Document type:	Article Prepublicació
Published by:	Centre de Recerca Matemàtica
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Uri:	https://ddd.uab.cat/record/44464