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croot
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

April 26th, 2012, 11:48 am

Anyone have this paper?
 
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spursfan
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

April 26th, 2012, 2:01 pm

Dominique says it is an internal BAML working paper - though most of the material is present in the Andersen-Piterbarg books
 
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croot
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

April 26th, 2012, 3:56 pm

I know, A&P Book 1 p.333: "Much of the material is based on Bang[2009], which can be consulted for additional details".It'd be nice to send it, if need be in a discretely wrapped pm.
 
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Antonio
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

April 27th, 2012, 7:10 am

Dear croot,I do not have Andersen & Piterbarg's book, but is the method they present (based on Bang) any different than what is already in the papers Albrecher-Schoutens-Kahl-Lord-Zeliade...?Best,
 
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croot
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

April 27th, 2012, 4:12 pm

They state that using alpha=1/2 and the BS control variate with vol taken at 0 is the best thing to do for rewards with no sweat.Then there is a 5pp. section 8.4.4 "Refinements of Numerical Implementation" making heavy references to this paper by Bang.The idea there seems to apply whether or not you use the BS control variate, it's about computing the right tail of the integral (no mapping of [0 inf) to [0 1] here) as the sum of two terms, the main one given as E_{1} exponential integral functions.Me, I just want a method using CF and/or saddlepoint that will compute call prices to 4 places relative accuracy for all logmoneyness in [-2.3, 2.3] and "all" param combos.
 
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mj
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

April 29th, 2012, 10:42 pm

I don't have Bang's paper but we did our own analysis:http://ssrn.com/abstract=1941464
 
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logos01
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"Numerical computation of fourier transforms in heston model" D. Bang [2009]

September 10th, 2013, 8:33 am

In the paper from Mark Joshi, it looks like the integrand (3.9) need extra care at 0. This is one nice thing about the Lewis formula (3.7). Isn't it one reason why moment matching using (3.5) is particularly important for (3.9) (if the derivatives are matched then the value of the integrand is 0 at 0)?
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