dc.contributor
Centre de Recerca Matemàtica
dc.contributor.author
Baño Rollin, Sebastian del
dc.contributor.author
Ferreiro Castilla, Albert
dc.contributor.author
Utzet, Frederic
dc.date.accessioned
2009-07-02T07:33:19Z
dc.date.accessioned
2024-09-19T13:29:46Z
dc.date.available
2009-07-02T07:33:19Z
dc.date.available
2024-09-19T13:29:46Z
dc.identifier.uri
http://hdl.handle.net/2072/17907
dc.description.abstract
A 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.
cat
dc.format.extent
353230 bytes
dc.format.mimetype
application/pdf
dc.publisher
Centre de Recerca Matemàtica
dc.relation.ispartofseries
Prepublicacions del Centre de Recerca Matemàtica;846
dc.rights
Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el centre i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
dc.subject.other
Probabilitats
dc.title
A new look at the Heston characteristic function
dc.type
info:eu-repo/semantics/preprint
