Tag Info

Hot answers tagged

2

In options pricing language, the probability of a spot process being above a given level $K$ at time $T$ is the undiscounted price of a digital call option on that spot process. In the Heston model, there is an analytic expression for this in terms of Fourier transform. You can find this in various standard references, e.g. Alan Lewis's book "Option ...


1

COS method is an efficient way to recover the distribution function from the characteristic function in the Heston model. For other methods, you may refer to "Inverting Analytic Characteristic Functions and Financial Applications".



Only top voted, non community-wiki answers of a minimum length are eligible