| Document Date: 2009-06-03 08:14:27
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Company Let us / ABN AMRO / / Country Germany / / Facility University of Wuppertal / / IndustryTerm semi-analytical solution / mathematical software packages / complicated algorithm / / Organization Department of Mathematics / University of Wuppertal / l’Hospital / / Person Christian Kahl∗ Peter / / / Position forward / model / stochastic volatility or otherwise / Heston model / / ProgrammingLanguage C / / Technology 2.1 Whilst algorithm / particularly complicated algorithm / adaptive Gauss-Lobatto algorithm / Gauss-Lobatto algorithm / /
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Not-so-complex logarithms in the Heston model Christian Kahl∗ Peter J¨ackel† First version: