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

Detailed Description
analytic Heston-model engine based on Fourier transformReferences:
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 |