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1 vote

Heston model characteristic function

To answer your comment about (A7), it is a typo. It should read as: $$\boldsymbol{-\frac{1}{2}\phi^2} + \rho\sigma\phi i D + \boldsymbol{\frac{1}{2}\sigma^2D^2}+u_j\phi i-b_jD+\frac{\partial D}{\...
javier quintanilla's user avatar
1 vote

Unable to correctly implement the pricing of an American call with multiple discrete dividends using the Clenshaw-Curtis quadrature

I fixed the last part of the code as follows and now it gives the correct answers: ...
David Walthour's user avatar

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