HestonModel Class Reference

Heston model for the stochastic volatility of an asset. More...

#include <ql/models/equity/hestonmodel.hpp>

Inheritance diagram for HestonModel:

List of all members.

Public Member Functions

 HestonModel (const boost::shared_ptr< HestonProcess > &process)
Real theta () const
Real kappa () const
Real sigma () const
Real rho () const
Real v0 () const
boost::shared_ptr< HestonProcessprocess () const

Protected Member Functions

void generateArguments ()

Protected Attributes

boost::shared_ptr< HestonProcessprocess_


Detailed Description

Heston model for the stochastic volatility of an asset.

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.

Tests:
calibration is tested against known good values.