BatesModel Class Reference

Bates stochastic-volatility model. More...

#include <ql/models/equity/batesmodel.hpp>

Inheritance diagram for BatesModel:

List of all members.

Public Member Functions

 BatesModel (const boost::shared_ptr< BatesProcess > &process)
Real nu () const
Real delta () const
Real lambda () const

Protected Member Functions

void generateArguments ()

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.
Examples:
EquityOption.cpp.