QuantLib_BatesModel (3) Linux Manual Page
QuantLib::BatesModel – Bates stochastic-volatility model.
Synopsis
#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>)
Tests
- calibration is tested against known values.