A note on essential smoothness in the Heston model

作者：Forde Martin; Jacquier Antoine; Mijatovic Aleksandar^*

来源：Finance and Stochastics, 2011, 15(4): 781-784.

DOI：10.1007/s00780-011-0162-z

• Essential smoothness
• Large deviation principle
• Heston model

This note identifies a gap in the proof of Corollary 2.4 in Forde and Jacquier (Finance Stoch., 2011) which arises because the essential smoothness of the family (X (t) /t) (ta parts per thousand yen1) can fail for the log-spot process X in the Heston model, and it describes how to circumvent the issue by applying a standard argument from large deviation theory.

• 出版日期2011-12