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Heston model characteristic function does not handle limit case xi=0

Open cfries opened this issue 8 years ago • 0 comments

The Heston model characteristic function in net.finmath.fouriermethod.models does not Handle the limit case xi=0. The implementation results in NAN due to a 0 / 0. This should be fixed. The case xi=0.0001 (or smaller) works and converges to the Black-Scholes value.

cfries avatar Aug 26 '17 08:08 cfries