Title of article
On the density of log-spot in the Heston volatility model
Author/Authors
del Baٌo Rollin، نويسنده , , Sebastian and Ferreiro-Castilla، نويسنده , , Albert and Utzet، نويسنده , , Frederic، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
27
From page
2037
To page
2063
Abstract
This paper proves that the log-spot in the Heston model has a 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.
Keywords
Heston volatility model , Bessel random variables , Characteristic function
Journal title
Stochastic Processes and their Applications
Serial Year
2010
Journal title
Stochastic Processes and their Applications
Record number
1578326
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