Lord, Roger; Kahl, Christian - 2006 - This version: July 17th, 2006
principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to … logarithm. Under the same restrictions we prove that in an alternative formulation of the characteristic function the principal … show that Matytsin’s SVJJ model has a closed-form characteristic function, though the complex discontinuities that arise …