A new look at the Heston characteristic function

Home | About RECERCAT | Contact

Català | Castellano

All of RECERCAT

By Communities &
Collections By Defense Date By Authors By Titles By Subject

This Collection

By Defense Date By Authors By Titles By Subject

Statistics

View Statistics All RECERCAT

My RECERCAT

Other repositories directory

RECERCAT Home > Universitat Autònoma de Barcelona > Prepublicacions i preprints > View document

dc.contributor.author	Baño Rollin, Sebastian del
dc.contributor.author	Utzet i Civit, Frederic
dc.contributor.author	Ferreiro Castilla, Albert
dc.contributor.author	Universitat Autònoma de Barcelona. Centre de Recerca Matemàtica
dc.date	2009
dc.identifier	https://ddd.uab.cat/record/44464
dc.identifier	urn:oai:ddd.uab.cat:44464
dc.format	application/pdf
dc.language	eng
dc.publisher	Centre de Recerca Matemàtica
dc.relation	Centre de Recerca Matemàtica. Prepublicacions ;
dc.rights	open access
dc.rights	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
dc.rights	https://creativecommons.org/licenses/by-nc-nd/2.5/
dc.subject	Probabilitats
dc.title	A new look at the Heston characteristic function
dc.type	Article
dc.type	Prepublicació
dc.description.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.

Show simple item record

All of RECERCAT

This Collection

Statistics

My RECERCAT

Related documents

Other documents of the same author