batesprocess.hpp

Langue: en

Autres versions - même langue

Version: 374433 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/processes/batesprocess.hpp -

Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.

SYNOPSIS


#include <ql/processes/hestonprocess.hpp>
#include <ql/math/distributions/normaldistribution.hpp>

Classes


class BatesProcess
Square-root stochastic-volatility Bates process.

Detailed Description

Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size.

Author

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