- QuantLib
- IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine More...
#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>
Public Member Functions | |
IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &) | |
void | calculate () const |
integral Heston-model variance-option engine
This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w4/>.