HestonCf

Heston characteristic function of the log-return, in the branch-stable "little Heston trap" form (Albrecher et al. 2007) so a principal-branch complex logarithm is safe for long maturities.

dS/S = r dt + sqrt(v) dW1
dv   = kappa (theta - v) dt + xi sqrt(v) dW2,   corr(dW1, dW2) = rho

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Record components

rate: double
v0: double
kappa: double
theta: double
xi: double
rho: double

Methods

Complex phi(double u, double t)

double cumulant1(double t)

double cumulant2(double t)