hestonmodel.hpp

Langue: en

Autres versions - même langue

Version: 383060 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/models/equity/hestonmodel.hpp -

Heston model for the stochastic volatility of an asset.

SYNOPSIS


#include <ql/models/model.hpp>
#include <ql/processes/hestonprocess.hpp>

Classes


class HestonModel
Heston model for the stochastic volatility of an asset.

Detailed Description

Heston model for the stochastic volatility of an asset.

Author

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