06-065/2 - Why the Rotation Count Algorithm works

• Authors
  Roger Lord, Erasmus Universiteit Rotterdam, and Rabobank International; Christian Kahl, University of Wuppertal, and ABN AMRO, London
• Publication date
  July 27, 2006

• Keywords
  Complex logarithm; affine jump-diffusion; stochastic volatility; Heston; characteristic function; moment stability; option pricing
• JEL
  C63; G13