QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Heston model for the stochastic volatility of an asset. More...
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 |
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.