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QuantLib_IntegralHestonVarianceOptionEngine
Langue: en
Version: 163140 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::IntegralHestonVarianceOptionEngine - integral Heston-model variance-option engineSYNOPSIS
#include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp>
Inherits QuantLib::VarianceOption::engine.
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/>.
Author
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