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abstract:
In this talk, we will study the weak approximation of the Heston price process for payoff functions, which are only measurable and bounded. The main tool for the analysis will be the explicit knowledge of the characteristic function of the Heston price process, since we can not rely on the seminal work of Bally and Talay (1995). The latter work requires smooth coefficients and Gaussian tails for the underlying SDE, which is not fulfilled for the Heston model. |
