A Note on Essential Smoothness in the Heston Model

This note identifies a gap in the proof of Corollary 2.4 in [2], which arises because the essential smoothness of the family (Xt/t) can fail for the log-spot process X in the Heston model, and describes how to circumvent the issue by applying a standard argument from large deviation theory

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Year of publication:	2013
Authors:	Jacquier, Antoine (Jack)
Other Persons:	Mijatovic, Aleksandar (contributor) ; Forde, Martin (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (3 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Stochastics, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 13, 2011 erstellt
Classification:	C02 - Mathematical Methods ; C63 - Computational Techniques ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013092673