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Heston model characteristic function does not handle limit case xi=0 #42

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cfries opened this issue Aug 26, 2017 · 0 comments
Open

Heston model characteristic function does not handle limit case xi=0 #42

cfries opened this issue Aug 26, 2017 · 0 comments
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enhancement help wanted

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cfries commented Aug 26, 2017

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 cfries self-assigned this Aug 26, 2017
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