QuantLib_BatesModel man page

BatesModel — Bates stochastic-volatility model.  


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

Inherits HestonModel.

Inherited by BatesDetJumpModel.

Public Member Functions

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

Protected Member Functions

void generateArguments ()

Additional Inherited Members

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)


calibration is tested against known values.

Examples: EquityOption.cpp.


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Referenced By

The man pages BatesModel(3), generateArguments(3), lambda(3) and nu(3) are aliases of QuantLib_BatesModel(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib