QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
hestonmodel.hpp File Reference

Heston model for the stochastic volatility of an asset. More...

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

Go to the source code of this file.

Classes

class  HestonModel
 Heston model for the stochastic volatility of an asset. More...
 
class  HestonModel::FellerConstraint
 
class  HestonModel::FellerConstraint::Impl
 

Namespaces

namespace  QuantLib
 

Detailed Description

Heston model for the stochastic volatility of an asset.

analytic pricing engine for a heston option based on fourier transformation

Definition in file hestonmodel.hpp.