BatesModel Class Reference

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

Inheritance diagram for BatesModel:

Inheritance graph
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List of all 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>)

Tests:
calibration is tested against known values.


Public Member Functions

 BatesModel (const boost::shared_ptr< HestonProcess > &process, Real lambda=0.1, Real nu=0.0, Real delta=0.1)
Real nu () const
Real delta () const
Real lambda () const