Integration Issues, Parameter Effects, and Variance Modeling

In this chapter, we investigate several issues around the Heston model. First, following Bakshi and Madan (2000), we show that the Heston call price can be expressed in terms of a single characteristic function. It is well‐known that the integrand for the call price can sometimes show high oscillati...

Ausführliche Beschreibung

Bibliographische Detailangaben

1. Verfasser:	Rouah, Fabrice D
Format:	Buchkapitel
Sprache:	eng
Schlagworte:	Black‐Scholes discontinuity FINANCE & ACCOUNTING implied volatility Integrand Little Trap local volatility moment explosion oscillation parameter effects variance modeling variance swap
Online-Zugang:	Volltext
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