batesprocess(3)
NAME
ql/processes/batesprocess.hpp – Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.
SYNOPSIS
#include <ql/processes/hestonprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Classes
class BatesProcess
Square-root stochastic-volatility Bates process.
Detailed Description
Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.
Author
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