Not-so-complex Logarithms in the Heston Model

5th February 2018 admin 0

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]


American π: Piece of Cake?

13th November 2017 Editor 0

An American option can be exercised by its holder at any time he wishes, not just at the expiration date. Textbooks tell you that pricing it in the context of the binomial model is a […]