COMPLEX LOGARITHMS IN HESTON‐LIKE MODELS

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008, background): “The authors would like to thank Roger Lord (Rabobank, London), Mike Staunton (London Business School), and Hans van der Weide (Delft University of Technology) for fruitful discussions.”
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (2013, unknown): “The interested reader is referred to, for instance, Carr and Madan (1999, 2009) or Lord and Kahl (2007, 2010) and the references therein, as well as the recent papers by 55 Bernard et al. (2012) and Levendorskiı̆ (2012), who developed and examined in detail methods with essential improvements in…”
Asymptotic formulae for implied volatility in the Heston model (2009, unknown): “The proof is based on saddlepoint methods and classical properties of holomorphic functions.”
Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (2012, methodology): “Recently, Lord and Kahl [18] showed how to avoid this complex discontinuity problem.”