QuantLib_BatesModel (3) - Linux Man Pages
QuantLib_BatesModel: Bates stochastic-volatility model.
QuantLib::BatesModel - Bates stochastic-volatility model.
Inherited by BatesDetJumpModel.
Public Member Functions
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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