Characteristic function for 4 factor Heston model

pa81 · February 3rd, 2005, 9:55 am

I am considering a 4 factor Heston model for 2 assets :I need the characteristic function of the joint distribution of S1 and S2, but I can't find it by myself or in a paper. This presentation pdf says that it is possible. but I guess I need more helpThank you for your help !

PinkLizard · March 16th, 2009, 4:14 pm

PinkLizard · March 16th, 2009, 4:15 pm

Could you post me in pvt the presentation you were talking about? Tks

cdpatel · March 16th, 2009, 8:13 pm

link is broken to pdf u talking about..