BatesProcess (3) Linux Manual Page

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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