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Heston: Gauss's Integer Bracket in "Not-so-comlex logarithms in the Heston model" Kahl & Jackel
Hello,in the Kahl & Jackel paper "Not-so-comlex logarithms in the Heston model" you can find formula (24) page 5:and (28) page 6:The term " is called Gausss integer bracket.Initially I supposed that it might be a Gaussian Integer (http://en.wikipedia.org/wiki/Gaussian_integer), but right now it doesnt seem to be so.Does anyone know how maps and respectively. I mean how to calculate .Regards,PiotrWFile: Not-so-complex logarithms in the Heston model
Last edited by PiotrW on June 24th, 2007, 10:00 pm, edited 1 time in total.
Heston: Gauss's Integer Bracket in "Not-so-comlex logarithms in the Heston model" Kahl & Jackel
It should be the Gaussian integer bracket as far as I remember.Nevertheless, check e.g. http://papers.ssrn.com/abstract_id=921335 for an alternate and easier wayto work around the problems with the complex logarithm. Formulation 2 is the one you should be using.
Last edited by LordR on June 24th, 2007, 10:00 pm, edited 1 time in total.