- QuantLib
- BatesModel
Bates stochastic-volatility model. More...
#include <ql/models/equity/batesmodel.hpp>
Public Member Functions | |
BatesModel (const boost::shared_ptr< BatesProcess > &process) | |
Real | nu () const |
Real | delta () const |
Real | lambda () const |
Protected Member Functions | |
void | generateArguments () |
Bates stochastic-volatility model.
extended versions of Heston model for the stochastic volatility of an asset including jumps.
References: 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>)