A new look at the Heston characteristic function

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dc.creatorRollin, Sebastian del Baño
dc.creatorFerreiro-Castilla, Albert
dc.creatorUtzet, Frederic
dc.date2009-02-12
dc.date.accessioned2026-07-07T12:40:59Z
dc.date.available2026-07-07T12:40:59Z
dc.descriptionA 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.
dc.identifierhttps://arxiv.org/abs/0902.2154
dc.identifierhttp://arxiv.org/abs/0902.2154
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/219621
dc.subjectProbability
dc.subject91B28, 60H10, 60E10
dc.titleA new look at the Heston characteristic function
dc.typetext

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