AnalyticHestonEngine Class Reference
[Vanilla option engines]

#include <ql/pricingengines/vanilla/analytichestonengine.hpp>

Inheritance diagram for AnalyticHestonEngine:

Inheritance graph
[legend]
List of all members.

Detailed Description

analytic Heston-model engine based on Fourier transform

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.

Dupire, Bruno, 1994. Pricing with a smile. Risk Magazine, 7, 18-20.

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 and comparison with Black pricing.


Public Member Functions

 AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=64)
void calculate () const
virtual std::complex< Real > jumpDiffusionTerm (Real phi, Time t, Size j) const