IntegralHestonVarianceOptionEngine Class Reference
[Forward option engines]

integral Heston-model variance-option engine More...

#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>

Inheritance diagram for IntegralHestonVarianceOptionEngine:

List of all members.

Public Member Functions

 IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &)
void calculate () const


Detailed Description

integral Heston-model variance-option engine

This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w4/>.