QuantLib_BatesModel (3) - Linux Manuals

QuantLib_BatesModel: Bates stochastic-volatility model.


QuantLib::BatesModel - Bates stochastic-volatility model.


#include <ql/models/equity/batesmodel.hpp>

Inherits QuantLib::HestonModel.

Inherited by BatesDetJumpModel.

Public Member Functions

BatesModel (const boost::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nu=0.0, Real delta=0.1)

Real nu () const

Real delta () const

Real lambda () const

Detailed Description

Bates stochastic-volatility model.

extended versions of Heston model for the stochastic volatility of an asset including jumps.

References: A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)


calibration is tested against known values.


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