Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156015 | Stochastic Processes and their Applications | 2010 | 27 Pages |
Abstract
This paper proves that the log-spot in the Heston model has a C∞C∞ density and gives an expression of this density as an infinite convolution of Bessel type densities. Such properties are deduced from a factorization of the characteristic function, mainly obtained through an analysis of the complex moment generating function. As an application a new algorithm to simulate spot is developed.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Sebastian del Baño Rollin, Albert Ferreiro-Castilla, Frederic Utzet,