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QuantLib_BatesEngine
Langue: en
Version: 169392 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BatesEngine - Bates model engines based on Fourier transform.SYNOPSIS
#include <ql/pricingengines/vanilla/batesengine.hpp>
Inherits QuantLib::AnalyticHestonEngine.
Inherited by BatesDetJumpEngine.
Public Member Functions
BatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144)
BatesEngine (const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations)
Protected Member Functions
std::complex< Real > addOnTerm (Real phi, Time t, Size j) const
Detailed Description
Bates model engines based on Fourier transform.
this classes price european options under the following processes
1. Jump-Diffusion with Stochastic Volatility
\.PP N is a Poisson process with the intensity $
$. When a jump occurs the magnitude J has the probability distribution function $ al Jump Diffusion: BatesEngine
Logarithm of the jump size J is normally distributed ht ]
1.2 Double-Exponential Jump Diffusion: BatesDoubleExpEngine
The jump size has an asymmetric double exponential distribution \
2. Stochastic Volatility with Jump Diffusion and Deterministic Jump Intensity
\.PP 2.1 Log-Normal Jump Diffusion with Deterministic Jump Intensity BatesDetJumpEngine
2.2 Double-Exponential Jump Diffusion with Deterministic Jump Intensity BatesDoubleExpDetJumpEngine
References:
D. Bates, Jumps and stochastic volatilit: exchange rate processes implicit in Deutsche mark options', Review of Financial Sudies 9, 69-107.
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>)
Tests
- the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's jump diffusion engine and comparison with Black pricing.
Author
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