TY - JOUR
T1 - On the density of log-spot in the Heston volatility model
AU - Del Bao Rollin, Sebastian
AU - Ferreiro-Castilla, Albert
AU - Utzet, Frederic
PY - 2010/9/1
Y1 - 2010/9/1
N2 - 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. © 2010 Elsevier B.V. All rights reserved.
AB - 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. © 2010 Elsevier B.V. All rights reserved.
KW - Bessel random variables
KW - Characteristic function
KW - Heston volatility model
UR - https://www.scopus.com/pages/publications/77955558203
U2 - 10.1016/j.spa.2010.06.003
DO - 10.1016/j.spa.2010.06.003
M3 - Article
SN - 0304-4149
VL - 120
SP - 2037
EP - 2063
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 10
ER -