Article ID Journal Published Year Pages File Type
1156015 Stochastic Processes and their Applications 2010 27 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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