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A note on essential smoothness in the Heston model
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Forde, Martin, Jacquier, Antoine and Mijatović, Aleksandar (2011) A note on essential smoothness in the Heston model. Finance and Stochastics, 15 (4). pp. 781-784. doi:10.1007/s00780-011-0162-z
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Official URL: http://dx.doi.org/10.1007/s00780-011-0162-z
Abstract
This note identifies a gap in the proof of Corollary 2.4 in Forde and Jacquier (Finance Stoch., 2011) which arises because the essential smoothness of the family (X t /t) t≥1 can fail for the log-spot process X in the Heston model, and it describes how to circumvent the issue by applying a standard argument from large deviation theory.
Item Type: | Journal Item | ||||
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Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Large deviations, Stochastic processes, Finance -- Mathematical models | ||||
Journal or Publication Title: | Finance and Stochastics | ||||
Publisher: | Springer | ||||
ISSN: | 0949-2984 | ||||
Official Date: | 2011 | ||||
Dates: |
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Volume: | 15 | ||||
Number: | 4 | ||||
Page Range: | pp. 781-784 | ||||
DOI: | 10.1007/s00780-011-0162-z | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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