ql/processes/batesprocess.hpp File Reference
Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. More...
#include <ql/processes/hestonprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
Include dependency graph for batesprocess.hpp:

Classes | |
class | BatesProcess |
Square-root stochastic-volatility Bates process. More... |
Detailed Description
Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.