QuantLib_HestonModel man page

HestonModel — Heston model for the stochastic volatility of an asset.  

Synopsis

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

Inherits CalibratedModel.

Inherited by BatesDoubleExpModel, and BatesModel.

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_

Additional Inherited Members

Detailed Description

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.

Tests

calibration is tested against known good values.

Examples: EquityOption.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages HestonModel(3) and kappa(3) are aliases of QuantLib_HestonModel(3).

Wed Aug 2 2017 Version 1.10 QuantLib