- QuantLib
- HestonModel
Heston model for the stochastic volatility of an asset. More...
#include <ql/models/equity/hestonmodel.hpp>
Public Member Functions | |
HestonModel (const boost::shared_ptr< HestonProcess > &process) | |
Real | theta () const |
Real | kappa () const |
Real | sigma () const |
Real | rho () const |
Real | v0 () const |
boost::shared_ptr< HestonProcess > | process () const |
Protected Member Functions | |
void | generateArguments () |
Protected Attributes | |
boost::shared_ptr< HestonProcess > | process_ |
Heston model for the stochastic volatility of an asset.
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.