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hestonmodel.hpp
Langue: en
Version: 383060 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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