QuantLib_IntegralHestonVarianceOptionEngine man page

IntegralHestonVarianceOptionEngine — integral Heston-model variance-option engine

Synopsis

#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>

Inherits VarianceOption::engine.

Public Member Functions

IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &)

void calculate () const

Additional Inherited Members

Detailed Description

integral Heston-model variance-option engine

This engine implements the approach described in http://www.econ.univpm.it/recchioni/fin….

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

IntegralHestonVarianceOptionEngine(3) is an alias of QuantLib_IntegralHestonVarianceOptionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib