- QuantLib
- AnalyticPTDHestonEngine
analytic piecewise constant time dependent Heston-model engine More...
#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
Public Member Functions | |
AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations) | |
AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144) | |
void | calculate () const |
analytic piecewise constant time dependent Heston-model engine
References:
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.
J. Gatheral, The Volatility Surface: A Practitioner's Guide, Wiley Finance
A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020