QuantLib_HestonModel (3) - Linux Man Pages
QuantLib_HestonModel: Heston model for the stochastic volatility of an asset.
QuantLib::HestonModel - Heston model for the stochastic volatility of an asset.
Inherited by BatesDoubleExpModel, and BatesModel.
Public Member Functions
HestonModel (const boost::shared_ptr< HestonProcess > &process)
Real theta () const
Real kappa () const
Real sigma () const
Real rho () const
Real v0 () const
boost::shared_ptr< HestonProcess > process () const
Protected Member Functions
Heston model for the stochastic volatility of an asset.
Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.
- calibration is tested against known good values.
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