Mikhailov/Nögel on Heston: notation confusion

samyonez · August 25th, 2007, 9:25 pm

this paperam i right that the "C" for call option price in the notation summary at the beginning is a different "C" from the "C" in equation 1.10, which is just part of the solution to find the characteristic function?or am i misunderstanding?

Speedy · August 29th, 2007, 9:20 pm

You are right samyonez, the 'C' of equation 1.10 is the one that has been introduced in equation (Ansatz) 1.6.

samyonez · August 30th, 2007, 11:37 am

thanks. you can see how i got confused... it think the second C comes from following the Heston original notation (I found the paper), but he didn't use C for call option.A related question...does anyone know a good reference (fairly easy and intuitive) on Fourier methods in option pricing, for someone who knows very little about Fourier analysis?