BatesEngine Class Reference
[Vanilla option engines]
#include <ql/pricingengines/vanilla/batesengine.hpp>
Inheritance diagram for BatesEngine:

Detailed Description
Bates model engines based on Fourier transform.this classes price european options under the following processes
1. Jump-Diffusion with Stochastic Volatility
N is a Poisson process with the intensity . When a jump occurs the magnitude J has the probability distribution function
.
1.1 Log-Normal Jump Diffusion: BatesEngine
Logarithm of the jump size J is normally distributed
1.2 Double-Exponential Jump Diffusion: BatesDoubleExpEngine
The jump size has an asymmetric double exponential distribution
2. Stochastic Volatility with Jump Diffusion and Deterministic Jump Intensity
2.1 Log-Normal Jump Diffusion with Deterministic Jump Intensity BatesDetJumpEngine
2.2 Double-Exponential Jump Diffusion with Deterministic Jump Intensity BatesDoubleExpDetJumpEngine
References:
D. Bates, Jumps and stochastic volatilit: exchange rate processes implicit in Deutsche mark options", Review of Financial Sudies 9, 69-107.
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:
- the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's jump diffusion engine and comparison with Black pricing.
Public Member Functions | |
BatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=64) | |
Protected Member Functions | |
std::complex< Real > | jumpDiffusionTerm (Real phi, Time t, Size j) const |