BatesModel Class Reference
#include <ql/models/equity/batesmodel.hpp>
Inheritance diagram for BatesModel:

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 |