Heston model characteristic function does not handle limit case xi=0
cfries opened this issue · comments
The Heston model characteristic function in net.finmath.fouriermethod.models
does not Handle the limit case xi=0. The implementation results in NAN due to a 0 / 0. This should be fixed. The case xi=0.0001 (or smaller) works and converges to the Black-Scholes value.